RTransProb: Analyze and Forecast Credit Migrations

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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