of Credit Derivatives
Derivatives: Market Info and awareness
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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.