Skip to main content

Table 4 Possible migration paths of a 2 year BBB-rated loan

From: On meeting capital requirements with a chance-constrained optimization model

  Non-default
m = 0
Migration
m = 1
Paths
m = 2
  Default
m = 0
Migration
m = 1
Paths
m = 2
1 BBB AAA AAA 1 BBB D  
2 BBB AAA AA 2 BBB AAA D
3 BBB AAA A 3 BBB AA D
4 BBB AAA BBB 4 BBB A D
5 BBB AAA BB 5 BBB BBB D
6 BBB AAA B 6 BBB BB D
7 BBB AAA C 7 BBB B D
8 BBB AA AAA 8 BBB C D
9 BBB AA AA     
10 BBB AA A     
11 BBB AA BBB     
12 BBB AA BB     
13 BBB AA B     
14 BBB AA C     
15 BBB A AAA     
16 BBB A AA     
17 BBB A A     
18 BBB A BBB     
19 BBB A BB     
20 BBB A B     
21 BBB A C     
22 BBB BBB AAA     
23 BBB BBB AA     
24 BBB BBB A     
25 BBB BBB BBB     
26 BBB BBB BB     
27 BBB BBB B     
28 BBB BBB C     
29 BBB BB AAA     
30 BBB BB AA     
31 BBB BB A     
32 BBB BB BBB     
33 BBB BB BB     
34 BBB BB B     
35 BBB BB C     
36 BBB B AAA     
37 BBB B AA     
38 BBB B A     
39 BBB B BBB     
40 BBB B BB     
41 BBB B B     
42 BBB B C     
43 BBB C AAA     
44 BBB C AA     
45 BBB C A     
46 BBB C BBB     
47 BBB C BB     
48 BBB C B     
49 BBB C C