Estimate Transition Probabilities

Estimate change in credit quality, model transition probabilities from credit rating data

Transition probabilities offer a way to characterize the past changes in credit quality of obligors (typically firms), and are cardinal inputs to many risk management applications. Financial Toolbox™ supports the estimation of transition probabilities using both cohort and duration (also known as hazard rate or intensity) approaches using transprob and related functions.

Functions

`transprob`	Estimate transition probabilities from credit ratings data
`transprobbytotals`	Estimate transition probabilities using `totals` structure input
`transprobgrouptotals`	Aggregate credit ratings information into fewer rating categories
`transprobprep`	Preprocess credit ratings data to estimate transition probabilities

Topics

Estimation of Transition Probabilities
Use estimation transition probabilities to evaluate credit migration histories.
Visualize Transitions Data for transprob
This example shows how to visualize credit rating transitions that are used as an input to the transprob function.
Credit Quality Thresholds
Use transition probabilities by transforming them into credit quality thresholds.
Credit Rating by Bagging Decision Trees
This example shows how to build an automated credit rating tool.
Forecasting Corporate Default Rates
This example shows how to build a forecasting model for corporate default rates.

Estimate Transition Probabilities

Functions

Topics

Related Information