transprobbytotals
Estimate transition probabilities usingtotals
structure input
Syntax
Description
[
estimates transition probabilities using atransMat
,sampleTotals
] = transprobbytotals(totals
)totals
structure input.transprobbytotals
is useful for removing outlier information, obtaining bootstrapped confidence intervals, or computing transition probability estimates for different periodicity parameters (1-year transitions, 2-year transitions, and so on) efficiently.
[
adds optional name-value pair arguments.transMat
,sampleTotals
] = transprobbytotals(___,Name,Value
)
Examples
Input Arguments
Output Arguments
More About
References
[1] Hanson, S., T. Schuermann. "Confidence Intervals for Probabilities of Default."Journal of Banking & Finance.Vol. 30(8), Elsevier, August 2006, pp. 2281–2301.
[2] Löffler, G., P. N. Posch.Credit Risk Modeling Using Excel and VBA.West Sussex, England: Wiley Finance, 2007.
[3] Schuermann, T. "Credit Migration Matrices." in E. Melnick, B. Everitt (eds.),Encyclopedia of Quantitative Risk Analysis and Assessment.Wiley, 2008.