Historical Data used for Calculating Rating Transition Matrices and Cumulative Default Rates, and Modifications to the Matrices and Cumulative Default Rates
JCR News
Historical Data used for Calculating Rating Transition Matrices and Cumulative Default Rates, and Modifications to the Matrices and Cumulative Default Rates
Mar. 31, 2009
March 31, 2009
Historical Data used for Calculating Rating Transition Matrices and Cumulative Default Rates, and Modifications to the Matrices and Cumulative Default Rates
JCR has been making public its rating transition matrices and cumulative default rates annually. JCR has now decided to make public historical data used for these calculations in order to strengthen further its information provision services.
JCR posts historical data used for calculating its rating transition matrices and cumulative default rates on this website. These historical data include tables showing rating changes used for calculating rating transition matrices and the number of rated corporations as well as the number of defaulted corporations for each year cohort used for calculating default rates.
JCR made appropriate modifications to "JCR Rating Transition Matrices and Cumulative Default Rates" that has been published already in February 2009 Issue of "JCR Ratings" owing to factors like changes in its calculation method. Modified tables are shown below. These modifications are reflected in "Historical Data used in Default Studies" posted on this website.
Modified Tables
- Table numbers correspond to those table numbers in "JCR Rating Transition Matrices and Cumulative Default Rates" published in February 2009 Issue of "JCR Ratings."
- Modifications are shaded.