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 < https://analyticsrusers.blog>.


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install.packages("RTransProb")

0.3.3 by Ab NDiaye, 9 months ago


Browse source code at https://github.com/cran/RTransProb


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