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估计转移概率

估计信用质量的变化,根据信用评级数据建立转移概率模型

转移概率提供了一种方法来表征债权人(通常是公司)过去的信用质量变化,也是许多风险管理应用程序的基本输入。Financial Toolbox™ 使用 transprob 和相关函数基于同期和久期(也称为风险率或强度)方法来估计转移概率。

函数

transprobEstimate transition probabilities from credit ratings data
transprobbytotalsEstimate transition probabilities using totals structure input
transprobgrouptotalsAggregate credit ratings information into fewer rating categories
transprobprepPreprocess credit ratings data to estimate transition probabilities

主题

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.