VAR FRM I,Schweser Notes Q.52

tell2rekha
Posts: 3
Joined: Wed Oct 22, 2014 5:58 pm

VAR FRM I,Schweser Notes Q.52

Postby tell2rekha » Mon Oct 27, 2014 11:05 pm

Given the 1 year transition matrix below,what is the probability that a company that is currently B rated default over will default over a given 2-year period.

Initial period state Next period State
A B Default
A 85% 10% 5%

B 10% 80% 10%

edupristine
Finance Junkie
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Joined: Wed Apr 09, 2014 6:28 am

VAR FRM I,Schweser Notes Q.52

Postby edupristine » Wed Oct 29, 2014 9:50 am

Please mail your question at nidhib@eneev.com and check whether it has been copied correctly. In case there is some table given in the question. Please mail me because it will not get copied correctly in forum.


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