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RTransProb (version 0.1.0)

Analyze and Forecast Credit Migrations

Description

A set of functions used to automate commonly used methods in credit risk. This includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometrics and Machine Learning algorithms.

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Version

Install

install.packages('RTransProb')

Monthly Downloads

19

Version

0.1.0

License

GPL-2

Maintainer

Ab NDiaye

Last Published

April 11th, 2017

Functions in RTransProb (0.1.0)

data

data
duration.CI

Bootstrapped confidence intervals - Duration
VecOfTransData

Vector of Transition Counts
cfdates

Create Date Squence
duration.TTC

Duration - Data Weighting and "TTC" Calculation
expandTransData

Reshape Data to 'Wide' Data Format
POSIXTomatlab

Convert between MATLAB datenum and R POSIXt
TransitionProb

Estimation of credit transition probabilities
predData_svm

predData_svm
toThresholds

Convert probabilities to credit quality thresholds.
transForecast

Forecast - using Credit Cycle
transForecast_mnl

Forecast - using Multinomial Logistic Regression
fromThresholds

Convert credit quality thresholds to probabilities.
histData

histData
cohort.CI

Bootstrapped confidence intervals - Cohort
cohort.TTC

Cohort - Data Weighting and "TTC" Calculation
transForecast_svm

Forecast - using Support Vector Machines
matlabToPOSIX

Convert a numeric MATLAB datenum to R POSIXt time values
predData_mnl

predData_mnl