• 1 Introduction
  • 2 Understanding the Rating Input
  • 2.1 Credit Migration Matrices
  • 2.2 Through-the-Cycle vs. Point-in-Time
  • 2.3 Speed and Direction
  • 3 Migration Matrix Model: Current Standards
  • 3.1 The Affine Markov Chain Model
  • 3.2 The Stochastic Time Change
  • 3.3 The generator matrix
  • 4 The Regime Shifting Markov Mixture Model
  • 4.1 Generators and parameters
  • 4.2 Dynamics of the model
  • 4.3 Credit derivatives pricing
  • 5 Empirical Results
  • 6 Conclusion
  • References
  • Appendix