Financial Risk Manager Part 1
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Which of the following statements is incorrect, given the following one-year rating transition matrix?
| From/To (%) | AAA | AA | A | BBB | BB | B | CCC/C | D | Non Rated |
|-------------|-------|-------|-------|-------|-------|-------|-------|-------|-----------|
| AAA | 87.44 | 7.37 | 0.46 | 0.09 | 0.06 | 0.00 | 0.00 | 0.00 | 4.59 |
Which of the following statements is incorrect, given the following one-year rating transition matrix?
| From/To (%) | AAA | AA | A | BBB | BB | B | CCC/C | D | Non Rated |
|-------------|-------|-------|-------|-------|-------|-------|-------|-------|-----------|
| AAA | 87.44 | 7.37 | 0.46 | 0.09 | 0.06 | 0.00 | 0.00 | 0.00 | 4.59 |
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The probability of an AAA-rated bond being downgraded to AA is 7.37%
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