Przykłady zastosowania macierzy migracji w zarządzaniu ryzykiem finansowym

Migration matrices are widely used in various areas of risk management. In credit risk management an obligor is assigned to one of several rating classes and his future rating is determined by a transition matrix of a Markov chain. The probability that an obligor will change his credibility can be read off a migration matrix. The most important aspect of credit risk management is estimation of the probability that the obligor will not be able to meet his financial commitments, i.e., estimation of the probability of his default. The other field were migration matrices are used are insurance Bonus-Malus systems. The aim of the paper is to present applications of migration matrices in credit risk management, automobile insurance and in investigation of credit card users profiles.