Real-World Credit Calibration: The Transition Matrix
Document ID: 2008-1255
Published on: 18th December 2008
Author: Ruosha Li
We have recently updated our target for the transition matrix to include data to the end of 2007. This note compares this transition matrix with the one currently used in our ESG models.
We do not plan to change the transition matrix at end December 2008 as the changes are relatively small. Some clients, however, may prefer to use the new transition matrix at year end. We would be happy to advise how this can be done.
