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Default Risk Service

Measurement of the probability of default for a corporate exposure over a given investment horizon is often the first step in credit risk modeling, management, and pricing. Rating agency default studies are widely used sources for estimates of these important parameter values. Moody�s Default Risk Service (DRS) provides you with access to the data underlying Moody�s default studies, allowing you to anticipate changes in probability of default and fine-tune your models.

Brochure � Default Risk Service

Technical Specifications- Default Risk Service

Frequently Asked Questions- Default Risk Service

Service Features

Expansive Data Set: Over 330,000 individual debt securities. Both corporate and sovereign entities. Over 30 years of history starting from 1970.

Flexibility: universal identifiers, such as CUSIPs and SIC codes. Primary keys enable complex querying. Classifications for debt type, rating type, and region as well as flags.

Granularity: Complete rating history at the instrument level. Rating outlook and watchlist data. Credit enhancement/ backing data indicating external support. Bankruptcy classifications and textual descriptions.
Inputs for Models: 30-day recovery pricing. Rating changes at the issuer and security levels. Data for every stage of the credit cycle.