Real World Credit Calibration: Credit target update Q1 2010
Document ID: 2010-1726
Published on: 15th March 2010
Author: Ruosha Li and Axel Kirchner
This document details our latest update to the Barrie and Hibbert real-world credit rating transition matrix in order to reflect 2009 credit events. This transition matrix will be used in our ESG calibrations from the end of March 2010 onwards. To assess the relative effect of this update on simulated ESG default rates, we also analyse the distributional properties of default rates under the old and new matrix.
We also provide our end December 2009 targets for the unconditional distribution of corporate credit spreads of different ratings.
