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A set of functions used to automate commonly used methods in credit risk to estimate migration (transition) matrices. The package includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometric and Machine Learning approaches. More information can be found at <https://analyticsrusers.blog>.
Package details |
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Author | Ab NDiaye |
Maintainer | Ab NDiaye <ab.ndiaye@illumirisk.com> |
License | GPL-2 |
Version | 0.3.3 |
Package repository | View on CRAN |
Installation |
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