摘要：Rating migration analysis entails the actuarial estimation of transition probabilities for obligor credit risk ratings, with emphasis on estimation of empirical default probabilities. Measurement of changes in borrower credit quality over time is important as obligor risk ratings are a key component while assessing credit quality. In this article, by employing bootstrapping iterating methodology we estimate the loan values of Islamic loans and conventional loans that are downgraded using the forward yield rates and transitional probabilities. The credit risk of the two groups is compared under normal distribution assumption, and actual distribution. The results are compared with the estimated loan values as per BASEL II requirement. Interestingly, we found that the Islamic loans’ credit risk was more stable than the credit risk of conventional loans.
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