Fallen Angel risk results from the possibility and price impact of bond downgrades from investment grade (IG) into high yield (HY).
We test the early warning power of the CreditEdge Deterioration Probability (DP) metric for Fallen Angel downgrades.
Since the Asia crisis, most countries in Asia have displayed a longer term secular trend of falling default risk.
The Deterioration Probability - At a Glance
The Deterioration Probability Methodology
This article proposes a method of modeling realized losses given default (LGDs) as a function of macroeconomic drivers for stress testing purposes.