Default statistics concerning entities rated by EuroRating
To enable users of credit ratings issued by EuroRating to become acquainted with historical statistics concerning cases of actual insolvency (see the definition of a default applied by EuroRating) of entities rated by EuroRating, the agency publishes periodical annual reports concerning default statistics of the rated entities with division into individual periods and types of entities (corporations, banks, guarantee funds). In addition, average default rates (DR) are calculated for the entire, currently covering 9 full calendar years, history of EuroRating's rating activities. The report also presents statistics concerning average annual changes of ratings between individual rating classes (transition matrix).
When analysing default statistics published by EuroRating it should be noted that ratings issued by EuroRating are not only estimates of a probability of a default (PD) of the rated entity, but constitute the total estimated assessment of a risk of loss (i.e. the ultimate loss of a part or all of receivables along with interest) by financial creditors of the rated entity as a result of its default. Therefore, ratings issued by EuroRating represent the combination of a probability of default (PD) of the rated entity and the estimated level of the ultimate loss of receivables by its creditors in case of actual occurrence of default (Loss Given Default - LGD).
Periodical rating statistics presented by EuroRating concern only data on defaults of rated entities and reflect actual default rates (DR) for individual rating classes.
These statistics do not include data on actual losses incurred by the creditors of bankrupt entities, because such data are usually very difficult to obtain and verify, and in addition bankruptcy processes and recovery by creditors of (all or a part of) receivables may even last several years, which additionally hinders referencing such data to current rating statistics.
Therefore it should be noted that default rates (DR) presented in the report on rating statistics may deviate from long-term estimates of the total average credit risk assigned to individual rating classes according to the rating methodology applied by EuroRating.