# Tag Info

Accepted

### Calculation of the Transition matrix for Credit rating

In order to arrive at an (partial) answer, let us assume that annual credit rating transitions form a Markov chain with absorbing default state $D$. Further, let us assume that we have $K$ non-default ...
• 5,763

### Deriving credit spreads or migration matrices from prob of default

You cannot do it. It is an under-determined problem. That is to say, a whole multitude (subspace of $\mathbb{R}^{N\times N}$) of migration matrices will agree with any given table of default ...
• 14.4k

### Deriving credit spreads or migration matrices from prob of default

Actually, there is a practical way to do it. You can use you PoD estimates to assign a credit rating to your securities and then use a published transition matrix for your purposes. Or you can ...
• 1,335