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An Internal Ratings Migration Study

by Michel Araten of JP Morgan Chase,
Michael Jacobs Jr. of JP Morgan Chase,
Peeyush Varshney of JP Morgan Chase, and
Claude R. Pellegrino of JP Morgan Chase

April 2004

Abstract: This article discusses issues in evaluating banks' internal ratings of borrowers, drawing upon six years of internal ratings data from JPMorgan Chase's wholesale exposures to perform a ratings migration analysis. While ratings agencies have previously conducted these studies based upon publicly rated debt, this is the first published study based on a bank's internal ratings.

Published in: RMA Journal, Vol. 86, No. 7, (April 2004), pp. 92-97.

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