Modeling Bond Default Risk, 1995 (pdf)
This practice note was prepared by a work group organized by the Committee on Life Insurance Financial Reporting of the American Academy of Actuaries.
AIG is/was an American insurance corporation. On September 28, 2008, the Federal Reserve created an $85 billion credit facility to enable the company to meet increased collateral obligations.
The static default assumptions (where default losses are level over the modeling period for a specific asset quality and grade) can consider assumptions developed from at least three experience period reviews: a 10- to 20-year historical analysis, a more recent historical review (3 to 5 years), and a short-term best estimate set of assumptions looking forward.
Here's a glimpse of what a hypothetical 100-year historical analysis might have found.
Recession Watch
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I am going on "recession watch" for only the 4th time in the 20+ years that
I've been writing this blog. In December 2022 I went on "recession watch",
but ...
14 hours ago
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