Estimate Transition Probabilities
Transition probabilities offer a way to characterize the past changes in credit quality of obligors (typically firms), and are cardinal inputs to many risk management applications. Financial Toolbox™ supports the estimation of transition probabilities using both cohort and duration (also known as hazard rate or intensity) approaches usingtransprob
and related functions.
Functions
transprob |
Estimate transition probabilities from credit ratings data |
transprobbytotals |
Estimate transition probabilities usingtotals structure input |
transprobgrouptotals |
Aggregate credit ratings information into fewer rating categories |
transprobprep |
Preprocess credit ratings data to estimate transition probabilities |
Topics
- Estimation of Transition Probabilities
Use estimation transition probabilities to evaluate credit migration histories.
- Visualize Transitions Data for transprob
This example shows how to visualize credit rating transitions that are used as an input to the
transprob
function. - Credit Quality Thresholds
Use transition probabilities by transforming them into credit quality thresholds.
- Credit Rating by Bagging Decision Trees
This example shows how to build an automated credit rating tool.
- Forecasting Corporate Default Rates
This example shows how to build a forecasting model for corporate default rates.