An investor holds a portfolio of 50 zero-coupon bonds, each one with maturity in 3 years and a face value of 100 $. Half of the bonds have an initial rating Ana, 10% are rated B and another 40% are rated Can. The holder of the bond receives 100$ at maturity plus and interest rate of 3%, 4% and 5% of the face value if the bond is initially rated Ana, B and C an respectively, provided the bond does not default. If it does default the investor recovers 70% of its face value without collecting any interest. a) 13) Compute the transition probability matrix in one and three steps and write the probability that a bond rated Arm. B or Caa defaults. The random variables YA\