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表 7-1 Moody’s 的累積違約機率 ( 百分比 ) , 1920-2002 年
10 9 8 7 6 5 4 3 2 1
Aaa 0.59 1.02 0.78 0.29 0.41 0.09 0.19 0.02 0.00 0.00
Aa 2.78 2.37 2.01 1.21 1.60 0.36 0.85 0.54 0.07 0.22
A 3.42 2.93 2.09 2.48 1.67 1.28 0.57 0.92 0.27 0.08
Baa 7.99 7.16 5.39 6.25 3.59 4.51 1.79 2.69 0.99 0.34
Ba 1.42 3.43 5.60 7.89 10.16 12.28 14.14 15.99 17.63 19.42
B 4.79 10.31 15.59 20.14 23.99 27.12 30.00 32.36 34.37 36.10
Caa-C 14.74 23.95 30.57 35.32 38.83 41.94 44.23 46.44 48.42 50.19
4.14 4.71 3.57 3.03 2.48 1.93 1.41 0.50 0.93 0.17
3.83 7.75 11.41 14.69 17.58 20.09 22.28 24.30 26.05 27.80
1.27
12.14 1 10.38 9.43 7.28 8.41 6.02 3.09 4.62 1.05
20 19 18 17 16 15 14 13 12 1
1
Aaa 2.02 2.14 2.20 1.85 1.96 1.75 1.70 1.40 1.61 1.24
Aa 6.54 6.30 5.98 5.75 5.51 4.82 5.23 4.29 3.77 3.24
A 7.54 7.23 6.63 6.94 5.88 6.35 4.94 5.40 3.95 4.47
Baa 8.81 9.62 10.41 11.12 11.74 12.33 12.95 13.49 13.93 14.39
Ba 21.06 22.65 24.23 25.61 26.83 27.96 29.13 30.24 31.14 32.05
Caa-C 52.30 B 54.4 56.24 58.22 60.08 61.78 63.27 64.81 66.25 67.59 37.79 39.37 40.85 42.33 43.62 44.94 45.91 46.68 47.32 47.60
9.32 8.99 8.30 8.65 7.48 7.92 7.00 5.90 6.46 5.30
29.47 31.08 32.64 34.07 35.36 36.58 37.72 38.78 39.67 40.46
13.01 13.85 14.66 15.40 16.07 16.69 17.24 17.75 18.21 18.64
241