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.