Tsaig, Yaakov; Levy, Amnon; Wang, Yashan - In: Journal of Banking & Finance 35 (2011) 12, pp. 3145-3157
Credit migration is an essential component of credit portfolio modeling. In this paper, we outline a framework for … gauging the effects of credit migration on portfolio risk measurements. For a typical loan portfolio, we find credit migration …, and find that migration of point-in-time credit quality accounts for a greater fraction of total portfolio risk when …