Credit Rating Transition Matrix

Estimating Credit Rating Transition Matrices Based on Historical Ratings

  • The purpose of this model is assessing the probabilities of rating transitions based on a sample of historical credit ratings. Based on historical credit ratings per name, the transition matrix identifies the probability that the credit rating decreases or increases by x notches ;
  • Making strong assumptions, it is also possible to derive from the 1-year matrix a multi-period transition matrix ;
  • A brief methodology is available in the spreadsheet.

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Credit Rating Transition Matrix.xlsm.zip
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