Practical Applications of When a Fact May Not Be a Fact—and So What? An Analysis of Credit Default Statistics

Practical Applications Summary

In When a Fact May Not Be a Fact—and So What? An Analysis of Credit Default Statistics, from the Winter 2019 issue of the Journal of Fixed Income, author Chris Dialynas (of PIMCO) examines credit analysis and annual default and recovery statistics. He finds that excluding government bailouts from the definition of default creates misleading default statistics in current reports. Dialynas reviews the effects of government intervention on default rates, explores how default statistics would appear with the inclusion of bailouts, and discusses the implications of revised data on our understanding of credit risk.

TOPICS: Information providers/credit ratings, fixed income and structured finance, quantitative methods