medium · FRM Part 2 Credit Risk
An analyst is comparing two transition matrices from different banks. Bank A's matrix has diagonal values averaging 0.95. Bank B's matrix has diagonal values averaging 0.75.
Which bank is likely using a more 'Point-in-Time' (PIT) focused rating system?
- Bank A
- It is impossible to tell without knowing the recovery rates.
- Both banks appear to be using the same philosophy.
- Bank B
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