Use R to Easily Estimate Migration Matrices with RTransProb (Part 1)

This blog introduces my R package, RTransprob. The RTransprob package contains a set of functions used to automate commonly used methods to estimate migration matrices used in credit risk analysis. This includes methods for estimating migration and default rates based on the duration and cohort methods, bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometrics and a couple of Machine Learning algorithms.

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