Suppose the one-year transition matrix is as follows
Intial
Rating Ratings at year end (probability %)
AAA
AA
A
BBB
BB
B
CCC
Default
90.81
8.33
0.68
0.06
0.12
0
0.70
90.65
7.79
0.64
0.14
0.02
0.09
2.27
91.05
5.52
0.26
0.01
0.33
5.95
86.93
5.30
1.17
0.18
0.03
0.67
7.73
80.53
8.84
1.00
1.06
0.11
0.24
0.43
6.48
83.46
4.07
5.20
0.22
1.30
2.38
11.24
64.86
19.79
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