Risk Migration Analysis

The risk migration software application compiles historical probability of default (PD) and loss given default (LGD) migration and correlation coefficient matrices. Historical PD and LGD migration information is used to forecast loan portfolio performance, including expected losses and loan pricing requirements.

The application compiles numerous historical PD and LGD migration matrices. Migration to default status is included in the PD migration matrix, while the migration to loss is included in the LGD migration matrix. The application generates single period and average period migration matrices. The historical migration patterns can be applied for loan portfolio forecasting, including expected portfolio loss.

The PD and LGD migration information is trended within the application. Trended information includes historical migrations to a different rating, migration to paid, and migration to loss, along with the mean, median, and standard deviation for each PD and LGD rating. Migrated loans and customers can be viewed and reported.