Risk Migration Solution

The Risk Migration application compiles historical migration and industries correlation matrices. The application has a built-in query function. Through the set up process, numerous sub-portfolio migration queries can be written to identify specific sub-portfolio migration patterns. Loans that have been purged or refinanced internally can be excluded from the migration analysis.

The application generates a current period and average period risk migration matrix for each of the identified sub-portfolios, along with a historical correlation coefficient matrix.

The migration information is trended within the application. Trended information includes historical migrations to a different probability of default rating, migration to paid, and migration to loss, along with the mean, median, and standard deviation for each PD rating.

Individual migrated debt exposures can be viewed and reported.