Financial Innovation

Table 1 2 step transition probability matrix for Industry Sector

From: Portfolio optimization of credit risky bonds: a semi-Markov process approach

	AAA	AA	A	BBB	BB	B	CCC	D
AAA	0.8560	0.1344	0.0070	0.0017	0.0005	0	0.0003	0
AA	0.0619	0.7767	0.1496	0.0094	0.0012	0.0008	0.0002	0.0002
A	0.0011	0.0502	0.8409	0.0996	0.0057	0.0016	0.0007	0.0001
BBB	0.0015	0.0026	0.0740	0.7807	0.0934	0.0422	0.0046	0.0010
BB	0.0013	0.0011	0.0117	0.1421	0.6244	0.1664	0.0345	0.0184
B	0	0.0005	0.0052	0.0137	0.1531	0.6828	0.1220	0.0227
CCC	0	0.0004	0.0065	0.0115	0.0086	0.1663	0.6842	0.1226
D	0	0	0	0	0	0	0	1.0000

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