RTransProb: Analyze and Forecast Credit Migrations

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>.

Getting started

Package details

AuthorAb NDiaye
MaintainerAb NDiaye <[email protected]>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

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RTransProb documentation built on May 2, 2019, 6:49 a.m.