Samstag, 20. November 2010

Sovereign Risk Monitor Q 3 2010

3rd. Quarter 2010

The CMA Sovereign Risk Monitor identifies and ranks the world’s most volatile sovereign debt issuers according to percentage changes in their 5 year CDS. The countries are ranked by their cumulative probability of default (CPD), which gives the market's assessment of an issuer's likelihood of default over the life of a CDS contract. So, if a country has a 20% CPD rating for its five-year CDS contracts, the market believes this debt has a two-in-ten chance of defaulting in the next five years.

Highest Default Probabilities

Entity Name Mid Spread CPD (%)

Venezuela 1109.40 54,20

Greece 775.30 48.70

Argentina 749.30 40.40

Pakistan 606.40 34.60

Ukraine 546.80 32.30

Ireland 458.30 33.00

Dubai 437.40 26.50


Portugal 408.80 30.20

Romania 350.90 22.10


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