cm.matrix: Testing for migration matrix
In CreditMetrics: Functions for calculating the CreditMetrics risk model

Description Usage Arguments Value Author(s) References See Also Examples

cm.matrix tests if the given matrix M is a migration matrix. So the dimensions of the migration matrix should be at least 2 times 2 and the row and column dimensions must be equal. Further the values in the migration matrix should be between 0 and 1. And the sum of each row should be 1.

1	cm.matrix(M)

`M`	one year empirical migration matrix, where the last row gives the default class.

There is no return value if the given migration matrix M fullfills the above attributes.

Andreas Wittmann andreas\_wittmann@gmx.de

Glasserman, Paul, Monte Carlo Methods in Financial Engineering, Springer 2004

is.matrix

  # one year empirical migration matrix from standard&poors website
  rc <- c("AAA", "AA", "A", "BBB", "BB", "B", "CCC", "D")  
  M <- matrix(c(90.81,  8.33,  0.68,  0.06,  0.08,  0.02,  0.01,   0.01,
                 0.70, 90.65,  7.79,  0.64,  0.06,  0.13,  0.02,   0.01,
                 0.09,  2.27, 91.05,  5.52,  0.74,  0.26,  0.01,   0.06,
                 0.02,  0.33,  5.95, 85.93,  5.30,  1.17,  1.12,   0.18,
                 0.03,  0.14,  0.67,  7.73, 80.53,  8.84,  1.00,   1.06,
                 0.01,  0.11,  0.24,  0.43,  6.48, 83.46,  4.07,   5.20,
                 0.21,     0,  0.22,  1.30,  2.38, 11.24, 64.86,  19.79,
                    0,     0,     0,     0,     0,     0,     0, 100
              )/100, 8, 8, dimnames = list(rc, rc), byrow = TRUE)

  cm.matrix(M)