Skip to main content

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