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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 |
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| Author | Michael Thomas [aut, cre], Brad Lindblad [ctb] |
| Maintainer | Michael Thomas <mthomas@ketchbrookanalytics.com> |
| License | MIT + file LICENSE |
| Version | 0.4.0 |
| URL | https://github.com/mthomas-ketchbrook/migrate |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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Try the migrate package in your browser
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