NO.PZ2023091701000120
问题如下：
Given the following ratings transition matrix,calculate the two-period cumulative probability of default for a B credit.
选项：
A.2.0$
B.2.5%
C.4.0%
D.4.5%
解释：
The first period probability of default for a B-ratedbond is 2%. In second period the probability of default is the probability ofsurviving year 1 and defaulting in year 2. The year 2 probability of default =(0.03 × 0.00) + (0.90 × 0.02) + (0.05 × 0.14) = 2.5%. Therefore, the two-periodcumulative probability of default = 2% + 2.5% = 4.5%.
这道题是不是有问题，只有评级转移概率，default都是0
