Modeling Credit Migration
نویسنده
چکیده
Credit models are increasingly interested in not just the probability of default, but in what happens to a credit on its way to default. Attention is being focused on the probability of moving from one credit level, or rating, to another. One convenient way of expressing this information is through a transition matrix. The primary source for these probabilities has been the rating agencies. As an example, Figure 1 contains the historical frequency of annual transitions based on S&P observations from 1981 to 1998.
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