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    Transition matrix cumulative pd

    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...
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    Stress testing and other risk management tools

    Hi David, in your note (chapter 2) for (Siddique and Hasan stress testing pg 13), the value for two year cumulative rate is 7.44%. However, the GARP official text (pg 303) gave a value of 10.61%. How do we get the value for two year cumulative loss rate and which is the correct value?
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