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RTransProb (version 0.3.0)

Analyze and Forecast Credit Migrations

Description

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 .

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Version

Install

install.packages('RTransProb')

Monthly Downloads

19

Version

0.3.0

License

GPL-2

Maintainer

Ab NDiaye

Last Published

June 28th, 2018

Functions in RTransProb (0.3.0)

cohort.TTC

Cohort - Data Weighting and "TTC" Calculation
getPIT

Estimation of credit transition probabilities
transForecast_svm

Forecast - using Support Vector Machines
predData_mnl_NoVariables

predData_mnl_NoVariables
transForecast

Forecast - using Credit Cycle
histData

histData
transForecast_lda

Forecast - using Linear Discriminant Analysis
transForecast_mnl

Forecast - using Multinomial Logistic Regression
transForecast_ann

Forecast - using Artificial Neural Networks
transitionprobbytotals

estimate of transition probabilities.
RTransProb-Internal

Internal RTransProb Functions
VecOfTransData

Vector of Transition Counts
duration.TTC

Duration - Data Weighting and "TTC" Calculation
predData_ann

predData_ann
data

data
POSIXTomatlab

Convert between MATLAB datenum and R POSIXt
predData_mnl

predData_mnl
cfdates

Create Date Squence
duration.CI

Bootstrapped confidence intervals - Duration
cohort.CI

Bootstrapped confidence intervals - Cohort
expandTransData

Reshape Data to 'Wide' Data Format
predData_lda

predData_lda
fromThresholds

Convert credit quality thresholds to probabilities.
TransitionProb

Estimation of credit transition probabilities
predData_svm

predData_svm
histData.normz

histData.normz
toThresholds

Convert probabilities to credit quality thresholds.
matlabToPOSIX

Convert a numeric MATLAB datenum to R POSIXt time values