Given the following transition matrix, calculate the 3 year cumulative default probabilities of A rated...
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Given the following transition matrix, calculate the 3 year cumulative default probabilities of A rated bond respectively. Show all the paths. (E.g. A-A-A-D)
Starting. Ending state Total State. A B C D probability
A 0.95 0.05 0 0 1.00
B 0.02 0.9 0.04 0.04 1.00
C 0.01 0.04 0.82 0.13 1.00
D 0 0 0 1.00. 1.00
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