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Table 7 Expected value of year-ahead market value of loans under worst case scenario

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

Loan type

Worst-credit migration path

Value

3 Year AAA commercial and industrial loan

\(AAA \rightarrow CCC \rightarrow CCC \rightarrow D\)

0.5214

5 Year AA agriculture and farm loan

\(AA\rightarrow CCC\rightarrow CCC \rightarrow CCC \rightarrow CCC \rightarrow D\)

0.5296

2 Year BBB personal loan

\(BBB \rightarrow D\)

0.3798

3 Year B education loan

\(B \rightarrow CCC \rightarrow CCC \rightarrow D\)

0.5380

4 Year A vehicle loan

\(AAA \rightarrow CCC \rightarrow CCC \rightarrow CCC\rightarrow D\)

0.5171