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CorporateDefaults – Market-implied default probabilities

CorporateDefaults quantifies market sentiment regarding a company’s default risk. When public companies get into financial trouble, rumors fly and the market usually has more information than that company’s latest balance sheets or press releases. As Warren Buffet says, "The Market Knows." Wouldn’t it be great if there was a way to capture what the market knows? Now there is: it’s "Market-Implied Default Probabilities" from CorporateDefaults.

Bond traders buy or sell a company’s bonds based on market rumors. These rumors are impounded into observable bond prices. CorporateDefaults uses the latest corporate bond prices and their spreads to the Treasury market. With that information, CorporateDefaults backs out the probability of default implied by the market. Termed "Market-Implied Default Probabilities," these default probabilites quantify the market’s sentiment regarding a company’s default risk.

Savvysoft updates CorporateDefaults’ default probabilites daily at the close of the market for thousands of international corporate debt issuers covering a broad range of industries and credit qualities.

CorporateDefaults calculates Market-Implied Default Probabilities using Savvysoft’s TOPS Credit, the market’s most advanced credit derivatives software. Bond prices used are closing prices from the world’s most respected data vendors.

 

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