In its latest Sovereign Risk report, Moody’s said the risks that Romania could default on its own debt over the next 12 months are comparable to the ones faced by Spain (1.2%), Vietnam (1.39%) or Angola (1.45%).
Moody’s calculates the probabilities of default based on the CDS-implied EDF (Expected Default Frequency), which is the market’s collective assessment of the probability of default, extracted from observed credit default swap spreads and adjusted for loss-given default and the market price of risk.
The ratings agency noted the probability of a Greek default rose to yet another all-time high in the last week, and probabilities of default for other sovereigns increased as well, particularly in emerging markets such as Brazil, Russia, China or South Africa.
“Until recently, these had remained relatively unaffected by the European sovereign debt crisis. But investors sold emerging markets assets believing the crisis may be reducing demand for exports, including commodities, from those nations, which would lower their growth rates,” Moody’s said.
Worldwide, the US have the lowest risk of a default, of only 0.05%, followed by Canada and Norway, both 0.06%, Sweden with 0.07% and Switzerland with 0.08%.