Markov Chain Transition Matrix

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) ?

Réponses (0)

Catégories

En savoir plus sur Language Fundamentals dans Centre d'aide et File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by