I've read about this story on the blogosphere but zerohedge actually posted the report.
Societe General, the French Bank, has published a report titled "The Worst Case Debt Scenario: Protecting Yourself Against Economic Collapse"
The report does not actually calculate the risk of "economic collapse" but does offer investors strategies for preserving their wealth in the event of a collapse.
I printed it but haven't yet read it. It should prove to be interesting reading.