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Given the following transition matrix, calculate the 2 year cumulative default probabilities of B rated bond and a C rated bond respectively. (10 marks) Ending
Given the following transition matrix, calculate the 2 year cumulative default probabilities of B rated bond and a C rated bond respectively. (10 marks) Ending state Starting State Total jprobability A B ID JA 10.97 10.03 0 0 1.00 10.02 0.9 0.04 10.04 1.00 0 0.06 10.7 10.24 1.00 D 10 1.00 1.00
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