Table 3 One-year forward zero curve for each credit rating category (%).
From: On meeting capital requirements with a chance-constrained optimization model
Category | Year 1\((f_{cr}^{1,2})\) | Year 2 \((f_{cr}^{1,3})\) | Year 3 \((f_{cr}^{1,4})\) | Year 4 \((f_{cr}^{1,5})\) |
|---|---|---|---|---|
AAA | 3.60 | 4.17 | 4.73 | 5.12 |
AA | 3.65 | 4.22 | 4.78 | 5.17 |
A | 3.72 | 4.32 | 4.93 | 5.32 |
BBB | 4.10 | 4.67 | 5.25 | 5.63 |
BB | 5.55 | 6.02 | 6.78 | 7.27 |
B | 6.05 | 7.02 | 8.03 | 8.52 |
CCC/C | 15.05 | 15.02 | 14.03 | 13.52 |