Weekly close data-based estimates of the probability of default on Irish sovereign bonds, based on yields. Note: these are mathematical estimates based on what the markets price in. All complaints should be addressed to the markets.
Marked in black bold are probabilities in excess of 40% (or statistically indistinguishable to 40%) - the benchmark that in the CDS markets considered to be crisis levels of probability of default.
Most of the risk is now concentrated, based on spreads in 3-year horizon, while in absolute terms the markets perceive risk peaking at or before 5 year horizon.
2 comments:
Hi Constantin
Can you explain how calculated the probabilities? I'm not doubting them I just have no idea how to calculate them :)
Many thanks in advance
Damien Doyle
Ireland need only default when the flow of funds from the EZ/ECB falls below what is required to flow the other way. Until then, Ireland is far better off than having to default first among other PIIGS.
The richly deserved fate of the banks of Europe is deferred for as long as this positive cash flow exists?
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