Stochastic Credit Migration
AXIS version 2019.13.01 includes new features for stochastic credit risk modeling. With these features, changes in assets' credit ratings and defaults can be simulated as discrete, all-or-nothing random events. These simulations can be integrated with existing AXIS models, and items such as projected cash flows, market values and capital requirements can depend on simulated ratings changes and defaults. In this way AXIS provides a unified stochastic modeling framework that includes credit risk as well as interest rate risk, equity risk and insurance risk.
Please see the attached PDF document.