Measurement, estimation and comparison of credit migration matrices

Article Abstract:

Accurate estimation of credit migration matrices is critical for risk management applications. Several methods are given for measuring, estimating and comparing migration matrices. Migration matrices have been increasing in size since the mid 1990s, reaching their peak in 2002. Estimation of migration matrices differs substantially depending on the method chosen.

Author: Jafry, Yusuf, Schuermann, Til
Science & research, Research, Measurement, Matrices, Matrices (Mathematics)

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The role of non-financial factors in internal credit ratings

Article Abstract:

Credit file data of major German banks is analyzed to examine the role of non-financial factors as inputs for bank's internal credit ratings for corporate borrowers. The empirical results indicate that integration of financial and non-financial factors produce precise estimates of default events than the single use of the factors.

Author: Norden, Lars, Weber, Martin, Grunert, Jens
Commercial Banks, Germany, Banking industry, Analysis

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Subjects list: Credit ratings
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