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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

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

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