Experience Studies
Experience Studies in Credit Risk
1986–98 Credit Risk Loss Experience Study: Private Placement Bonds
The Society of Actuaries' Private Placement Experience Committee has completed this report,
which measures incidence rates, loss severities and economic loss rates associated with credit risk events for
privately placed debt during the years 1986–98. One of the values of this report is the comparison between
private placement bond default experience and that of publicly traded bonds. In this edition of this ongoing study,
migration rates for internal and NAIC credit ratings of assets are tabulated for the first time and the relative
predictive power of different kinds of ratings is examined.