easy · FRM Part 1 Valuation and Risk Models
In credit analysis, what is 'migration risk'?
- Depositors moving their funds to a competing bank in search of better rates or perceived safety.
- The recovery rate realized on a defaulted bond coming in below the assumed 40% benchmark.
- The risk that an obligor's credit rating will be downgraded, reducing the market value of its debt.
- A loan being sold off into a securitization vehicle as part of an originate-to-distribute strategy.
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