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| Author: | Bangia, A. (et al.) |
| Title: | Ratings migration and the business cycle, with application to credit portfolio stress testing |
| Journal: | Journal of Banking and Finance
2002 : MAR, VOL. 26:2-3, p. 445-474 |
| Index terms: | Credit Risk management Portfolio management |
| Language: | eng |
| Abstract: | The authors propose that underlying macroeconomic volatility is a key part of a useful conceptual framework for stress testing credit portfolios, and that credit migration matrices provide the specific linkages underlying macroeconomic conditions and asset quality. By separeting the economy into two states or regimes, expansion and contraction, and conditioning the migration matrix on these states, the authors show that loss distribution of credit portfolos can differ greatly, as can the concomitant level of economic capital to be assigned. |
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