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"Modeling U.S. Corporate Default Rates: Little Experiment"

Download it (free) from the Financial Research Exchange: http://www.frxmarket.com/p/modeling_us_corporate_default_rates_little_experiment/234

This report describes an example case of default risk modeling. Specifically, a simple model for forecasting the U.S. corporate default rates is being developed together with the reader. Further, default rates up to mid-2014 are being forecasted, and compared with the estimations of the rating agencies and opinions of some other financial market participants.  

I wrote the paper to share my own experiences with (junior) credit risk modelers. It probably provides valuable insights also for the individual investors who have been venturing into the speculative grade U.S. corporate bonds...