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 |