Basics of Credit Derivatives

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Credit derivatives terminology

By Vinod Kothari  

 

Rating migration: The change in ratings over time from the initially-assigned ratings. Any rating upgrade or downgrade counts as a rating migration. Rating agencies usually compile information about the annual rating migrations. Rating migrations are supposed to reflect the deterioration or strengthening of the quality of a security over time, and a security migrating into the default category is an indication of default. Hence, rating migration tables are used to assess the risk of credit deterioration and default.

 

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