Estimate Transition Probabilities
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.
|Estimate transition probabilities from credit ratings data
|Estimate transition probabilities using
|Aggregate credit ratings information into fewer rating categories
|Preprocess credit ratings data to estimate transition probabilities
- 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
- 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.