The Credit Migration Model Under Markov Chain And Applications

The credit quality of a company's debt changes over time,namely,the credit quality migrates between different credit classes.The migration process is usually modeled by the Markov chain,which is denoted by C,and the Markov chain C has finite state space K,as well as discrete or continuous time parameters.the process C is called the credit migration process.Thus,this paper introduces and summarizes the Markov model of credit migration-JLT model,and summarizes some extension models of JLT model-Kijima and Komoribayashi models,Das and Tufano models,Thomas,Allen and Morkel-Kingsbury model.At the same time,this paper also summarizes the theoretical basis of the model,that is,some basic concepts and conclusions about the Markov chain.