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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