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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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<strong>Transition</strong> <strong>Probability</strong> <strong>Matrix</strong><br />

TPM S&P 2524 - 2554<br />

<br />

<br />

<br />

AAA AA A BBB BB B CCC/C Default<br />

AAA 90.2308% 8.9931% 0.5588% 0.0517% 0.0828% 0.0310% 0.0517% 0.0000%<br />

AA 0.5839% 90.0104% 8.6548% 0.5631% 0.0626% 0.0834% 0.0209% 0.0209%<br />

A 0.0420% 2.0042% 91.5740% 5.7083% 0.3987% 0.1679% 0.0210% 0.0839%<br />

BBB 0.0107% 0.1282% 3.8897% 90.6925% 4.1782% 0.6839% 0.1603% 0.2565%<br />

BB 0.0222% 0.0444% 0.1774% 5.8112% 84.1411% 7.9738% 0.8318% 0.9981%<br />

B 0.0000% 0.0453% 0.1473% 0.2492% 6.3095% 83.1672% 5.0068% 5.0748%<br />

CCC/C 0.0000% 0.0000% 0.1985% 0.3036% 0.9109% 15.9640% 51.3021% 31.3208%<br />

Default 0.0000% 0.0000% 0.0000% 0.0000% 0.0000% 0.0000% 0.0000% 100.0000%<br />

Real World and <strong>Risk</strong> <strong>Neutral</strong> TPMs<br />

Real World TPM TPM กกก<br />

ก TPM<br />

<strong>Risk</strong> <strong>Neutral</strong> TPM TPM กก

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