Hi @David Harper CFA FRM , suppose that matrix A is a transition matrix (I.e one with Markov property). Suppose we have calculated two and three year transition matrix by taking the square and cube of matrix A. How do we get the cumulative PD from the example in this link...
I have a quick question about default intensity. This may be a silly question, but does past history (not including defaults) have anything to do with default intensity for the Poisson or exponential distributions? I think the answer is no but I am not sure. In other words, if a...
I'm not sure how to read the transition table in question 28.
The question states:
For a company starting with rating B in year 1, calculate the default (rating D) probability for year 2.
A B C D