An Internal Ratings Migration Study
by Michel Araten of JP Morgan Chase,
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.