Markov Chain Transition Matrix

8 vues (au cours des 30 derniers jours)

Miguel Inaki le 23 Nov 2017

I have the markov chain transition matrix of the credit risk that you can see in attatch files.

I need help to know how many years it would take to the default probability(NR) to be 95% (of a bond innitially rated AAA).

And also, how would i change the matrix if i had new bonds entering the ratings (not rated in one year, but rated in the year end) ?

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