Thailand's First Risk Neutral Transition Probability Matrix
Thailand's First Risk Neutral Transition Probability Matrix
Thailand's First Risk Neutral Transition Probability Matrix
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กก TPM <br />
<br />
1 <br />
2 <br />
3 <br />
5 <br />
7 <br />
10 <br />
JLT KK L JLT KK L JLT KK L JLT KK L JLT<br />
KK L JLT KK<br />
L<br />
AAA 0.43 0 0.48 1.06 0 1.12 1.77 0 1.82 3.36 0 3.23 5.03 0 2.84 7.56 0 5.6<br />
AA 0.44 0 0.56 1.08 0 1.22 1.82 0 1.86 3.44 0 2.91 5.12 0 0 7.61 0 3.77<br />
A 0 0 -0.03 0.01 0 -0.12 -0.06 0 -0.28 1.01 0 -0.78 2.45 0 0 4.54 0 -2.43<br />
BBB 0 0 0 0 0 0 0 0 -0.01 0 0 -0.01 0.39 0 0 6.58 0 0.02<br />
BB -1.54 -1.54 -1.54 -1.55 -1.55 -1.55 -0.12 -0.12 -0.12 0 0 -0.01 1.61 0 0 11.83 0 -0.02<br />
B 0 0 0 0 0 0 0.01 0 0 0 0 -0.01 2.33 0 0 14.98 0 -0.24<br />
CCC/C -13.5 -13.5 -13.5 -16.14 -16.14 -16.14 -13.63 -13.63 -13.63 -6.45 -6.45 -6.45 3.22 0 0 17.48 7.68 7.68<br />
SUM 184.87 184.49 185.03 265.18 262.9 265.65 192.37 185.89 192.74 65.74 41.59 61.07 76.11 0 8.05 848.77 59.03 110.49<br />
: . (2555)<br />
<strong>Risk</strong>-<strong>Neutral</strong> TPM <br />
<strong>Risk</strong>-<strong>Neutral</strong> TPM ก<br />
ก Real-World TPM<br />
ก <strong>Risk</strong>-<strong>Neutral</strong> TPM 0.00%<br />
ก 100%<br />
ก <strong>Risk</strong>-<strong>Neutral</strong> TPM ก<br />
ก 100%
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