Real world credit calibration: Credit target update at end March 2009
Document ID: 2009-1313
Published on: 31st March 2009
Author: Ruosha Li & Michelle Barbour
This document details an updated one year credit rating transition matrix. This transition matrix will be used in our ESG models from the end of March 2009. We compare the projected default rates in the ESG model using either the updated transition or the old transition matrix at end December 2008. Finally, we update our targets for the unconditional distribution of corporate credit spreads of different ratings
