Modeling Credit Migration
by Cynthia McNulty of J.P. Morgan, and
March 17, 2000
Partial Introducing: 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.
Published in: RISK, Vol. 13, No. 2, (February 2000).