A set of functions used to automate commonly used methods in credit risk to estimate migration (transition) matrices. The package includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometrics and Machine Learning algorithms.
Version: | 0.2.0 |
Depends: | R (≥ 2.2.0) |
Imports: | chron, e1071, expm, MASS, Matrix, matrixStats, nnet, pracma, tcltk, zoo, Rcpp (≥ 0.12.11) |
LinkingTo: | Rcpp, RcppArmadillo |
Published: | 2018-01-21 |
Author: | Ab NDiaye |
Maintainer: | Ab NDiaye <pabdndiaye at gmail.com> |
License: | GPL-2 |
NeedsCompilation: | yes |
CRAN checks: | RTransProb results |
Reference manual: | RTransProb.pdf |
Package source: | RTransProb_0.2.0.tar.gz |
Windows binaries: | r-devel: RTransProb_0.2.0.zip, r-release: RTransProb_0.2.0.zip, r-oldrel: RTransProb_0.2.0.zip |
OS X El Capitan binaries: | r-release: RTransProb_0.2.0.tgz |
OS X Mavericks binaries: | r-oldrel: RTransProb_0.1.0.tgz |
Old sources: | RTransProb archive |
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