Tools to help convert credit risk data at two time points into traditional credit state migration (aka, "transition") matrices. At a higher level, 'migrate' is intended to help an analyst understand how risk moved in their credit portfolio over a time interval. References to this methodology include: 1. Schuermann, T. (2008) <doi:10.1002/9780470061596.risk0409>. 2. Perederiy, V. (2017) <arXiv:1708.00062>.
|Author||Michael Thomas [aut, cre], Brad Lindblad [ctb]|
|Maintainer||Michael Thomas <firstname.lastname@example.org>|
|License||MIT + file LICENSE|
|Package repository||View on CRAN|
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