Question 14.5: A firm has Standard and Poor’s credit rating of A. Using the...
A firm has Standard and Poor’s credit rating of A. Using the credit migration rates averaged over 1981 to 2009, what is the probability that the firm will have defaulted in two years time? What is the answer using an N times one-year approximation? How do these results compare to the actual two-year default rates for 1981 to 2009?
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