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Figure 12.1: Exposure to Counterparty Default Risk

Figure 12.1: Exposure to Counterparty Default Risk

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Brief History of Corporate Defaults



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• Credit rating agencies such as Moody’s and Standard &

Poor’s maintain databases of corporate defaults through

time

• In Moody’s definition corporate default is triggered by one

of three events:

– a missed or delayed interest or principal payment

– a bankruptcy filing

– a distressed exchange where old debt is exchanged for

new debt that represents a smaller obligation for the

borrower

Elements of Financial Risk Management Second Edition © 2012 by Peter Christoffersen



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Table 12.1: Largest Moody's-Rated Defaults

Company



Default Volume ($ mill)



Year



Industry



Country



Lehman Brothers



$120,483



2008



Financials



United States



Worldcom, Inc.



$33,608



2002



Telecom / Media



United States



GMAC LLC



$29,821



2008



Financials



United States



Kaupthing Bank Hf



$20,063



2008



Financials



Iceland



Washington Mutual, Inc.



$19,346



2008



Financials



United States



Glitnir Banki Hf



$18,773



2008



Financials



Iceland



NTL Communications



$16,429



2002



Telecom / Media



United Kingdom



Adelphia Communications



$16,256



2002



Telecom / Media



United States



Enron Corp.



$13,852



2001



Energy



United States



Tribune Economy



$12,674



2008



Telecom / Media



United States



Elements of Financial Risk Management Second Edition © 2012 by Peter Christoffersen



Figure 12.2: Annual Average Corporate Default

Rates for Speculative Grade Firms, 1983-2010



Elements of Financial Risk Management Second Edition © 2012 by Peter Christoffersen



8



Figure 12.2: Annual Average Corporate Default

Rates for Speculative Grade Firms, 1983-2010



Elements of Financial Risk Management Second Edition © 2012 by Peter Christoffersen



9



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Figure 12.1: Exposure to Counterparty Default Risk

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