Analyze and Forecast Credit Migrations

A set of functions used to automate commonly used methods in credit risk to estimate migration (transition) matrices. The package includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometric and Machine Learning approaches. More information can be found at <>.


Reference manual

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0.3.3 by Ab NDiaye, a year ago

Browse source code at

Authors: Ab NDiaye

Documentation:   PDF Manual  

GPL-2 license

Imports chron, caret, e1071, expm, MASS, Matrix, matrixStats, neuralnet, nnet, pracma, tcltk, zoo, Rcpp

Linking to Rcpp, RcppArmadillo

See at CRAN