Markov Chain Transition Matrix
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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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카테고리
도움말 센터 및 File Exchange에서 Histograms에 대해 자세히 알아보기
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