The aim of this paper is to show that a Perpetual-Debt Structural Model makes it possible to replicate the default probabilities calculated by Moody’s for its different rating classes. The estimates, which give a good description of the default frequency historically observed by Moody’s, make it possible to characterize the firms belonging to each rating class in terms of key variables such as leverage, asset volatility (or business risk), equity volatility, recovery rate, distance to default, time to default. On the basis of the model, risk management functions can not only compute the probability of default for every time horizon, but can also measure other aspects that are relevant for the management of a firm’s risk.