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...
Hi, in book 2, chapter 4 (or the BT study notes), the following definitions are presented:
I do not understand how to read the second definition. [t, t+k) is a continuous set. Therefore, I do not see how the numerator is supposed to be defined here. Even if I assume that we simply iterate...
Learning objectives: Explain the key features of a good rating system. Describe the experts-based approaches, statistical-based models, and numerical approaches to predicting default. Describe a rating migration matrix and calculate the probability of default, cumulative probability of default...
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