Estimate transition probabilities from credit ratings data
[transMat, sampleTotals, idTotals] = transprob(data)
[transMat, sampleTotals, idTotals] = transprob(data,
Name, Value)
[transMat, sampleTotals, idTotals] = transprob(data)
constructs
a transition matrix from historical data of credit ratings.
[transMat, sampleTotals, idTotals] = transprob(data,
constructs
a transition matrix from historical data of credit ratings with additional
options specified by one or more Name, Value
)Name, Value
pair
arguments.

Using

Specify optional commaseparated pairs of Name,Value
arguments.
Name
is the argument
name and Value
is the corresponding
value. Name
must appear
inside single quotes (' '
).
You can specify several name and value pair
arguments in any order as Name1,Value1,...,NameN,ValueN
.

Estimation algorithm, in character vector format. Valid values
are Default:  

End date of the estimation time window, in character vector
or numeric format. The Default: Latest date in  

Cell array of size
Default:  

Integer indicating the number of creditrating snapshots per
year to be considered for the estimation. Valid values are 1, 2, 3,
4, 6, 12. This parameter is only used with the Default:  

Start date of the estimation time window, in character vector or numeric format. Default: Earliest date in  

Length of the transition interval, in years. Default: 

Matrix of transition probabilities in percent. The size of the
transition matrix is 

Structure with fields:
For the Total time spent IG SG D in rating: 4859.09 1503.36 1162.05 Transitions IG SG D out of (row) IG 0 89 7 into (column): SG 202 0 32 D 0 0 0 totals.totalsVec = [4859.09 1503.36 1162.05] totals.totalsMat = [ 0 89 7 202 0 32 0 0 0] totals.algorithm = 'duration' For the Initial count IG SG D in rating: 4808 1572 1145 Transitions IG SG D from (row) IG 4721 80 7 to (column): SG 193 1347 32 D 0 0 1145 totals.totalsVec = [4808 1572 1145] totals.totalsMat = [4721 80 7 193 1347 32 0 0 1145 totals.algorithm = 'cohort' 

Struct array of size
These fields contain the same information described for the
output 
Hanson, S., T. Schuermann. "Confidence Intervals for Probabilities of Default." Journal of Banking & Finance. Vol. 30(8), Elsevier, August 2006, pp. 2281–2301.
Löffler, G., P. N. Posch. Credit Risk Modeling Using Excel and VBA. West Sussex, England: Wiley Finance, 2007.
Schuermann, T. "Credit Migration Matrices." in E. Melnick, B. Everitt (eds.), Encyclopedia of Quantitative Risk Analysis and Assessment. Wiley, 2008.