From: On meeting capital requirements with a chance-constrained optimization model
RATING | AAA | AA | A | BBB | BB | B | CCC/C | D | Not rated |
---|---|---|---|---|---|---|---|---|---|
AAA | 83.12 | 10.76 | 0.63 | 0.21 | 0.00 | 0.00 | 0.21 | 0.00 | 5.06 |
AA | 0.28 | 84.32 | 10.92 | 0.66 | 0.00 | 0.00 | 0.00 | 0.00 | 3.81 |
A | 0.02 | 2.17 | 85.95 | 6.36 | 0.24 | 0.02 | 0.00 | 0.05 | 5.20 |
BBB | 0.00 | 0.12 | 4.26 | 82.99 | 4.31 | 0.50 | 0.12 | 0.10 | 7.70 |
BB | 0.00 | 0.00 | 0.13 | 4.92 | 71.46 | 8.02 | 0.57 | 0.57 | 14.33 |
B | 0.00 | 0.00 | 0.07 | 0.49 | 7.52 | 68.31 | 4.85 | 3.30 | 15.46 |
CCC/C | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 16.22 | 31.76 | 31.76 | 20.27 |