The credit rating and estimation transition probabilities come from:
 Altman, E., "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy," Journal of Finance, Vol. 23, No. 4, (Sep., 1968), pp. 589-609.
 Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Bank for International Settlements (BIS), comprehensive version, June 2006.
 Hanson, S. and T. Schuermann, "Confidence Intervals for Probabilities of Default," Journal of Banking & Finance, Elsevier, vol. 30(8), August 2006, pp. 2281-2301.
 Jafry, Y. and T. Schuermann, "Measurement, Estimation and Comparison of Credit Migration Matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), November 2004, pp. 2603-2639.
 Löffler, G. and P. N. Posch, Credit Risk Modeling Using Excel and VBA,West Sussex, England: Wiley Finance, 2007.
 Schuermann, T., "Credit Migration Matrices," in E. Melnick and B. Everitt (eds.), Encyclopedia of Quantitative Risk Analysis and Assessment, Wiley, 2008.