Wednesday, December 16, 2009

List of Countries Risk of Debt Default

CMA, have produced a lastest report showing the credit worthiness of Countries sovereign debt. They use various measures to produce analysis of a countries likely probability of defaulting on its government debt.

Cumulative Probability of Default (CPD) quantifies the probability of a country being unable to honour its debt obligations over a given time period.

Factors which influence a Countries probability of debt default include:
  • Market Credit Default Swaps CDS - This reflects how much premium investors want to hold risky bonds. It becomes a good guide to market sentiment on the riskiness of debt. (See: Credit Default Swaps explained)
  • Level of Sovereign Debt as a % of GDP
  • Political influences - is there the ability to cut spending e.t.c
Safest Countries for Debt Default

Source: CMA Report December 14th 2009 via Alea

The Riskiest Countries include
  • Venezuala - 57% risk
  • Ukraine - 54%
  • Argentina - 49%
  • Latvia - 30%
  • Iceland - 24%
Greece is 10th riskiest

The UK is ranked 26th in the world. Its 5 year CDS rating detoriorated during the past few quarters from an index of 47 to 77. The UK has an implied credit rating of AA


1 comment:

DocRichard said...

"The UK is ranked 26th in the world". Do you mean 26th safest, or 26th least safe?

Thanks for your helpful blog.