• 1 Introduction
  • 2 Data description
  • 3 Methodology
  • 3.1 Momentum-sensitive rating transition matrices
  • 3.2 Insensitive rating transition matrices
  • 3.3 Calculating the portfolio VaR
  • 3.4 Momentum-sensitive VaR
  • 3.5 Insensitive VaR versus mean momentum-sensitive VaR
  • 4 Empirical results
  • 4.1 Momentum-sensitive rating transition matrices for the period 1996–2005
  • 4.2 Credit portfolio risk—base case results
  • 4.3 Explanations for the base case results
  • 4.4 Sensitivity analysis
  • 5 Conclusion
  • References