migrate: Create Credit State Migration (Transition) Matrices

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>.

Package details

AuthorMichael Thomas [aut, cre], Brad Lindblad [ctb]
MaintainerMichael Thomas <mthomas@ketchbrookanalytics.com>
LicenseMIT + file LICENSE
Version0.3.0
URL https://github.com/mthomas-ketchbrook/migrate
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("migrate")

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migrate documentation built on Dec. 8, 2020, 1:07 a.m.