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Modeling Credit Migration

by Cynthia McNulty of J.P. Morgan, and
Ron Levin of J.P. Morgan

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).

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