Aggregate credit ratings information into fewer rating categories
totalsGrouped = transprobgrouptotals(totals,groupingEdges)
totalsGrouped = transprobgrouptotals(totals,groupingEdges)
aggregates the credit ratings information stored in the totals
input
into fewer ratings categories, which are defined by the groupingEdges
argument.

Structure, or a struct array of length
 

Numeric array with increasing, positive integers to indicate how to group credit ratings into categories. This table illustrates how to group a list of whole ratings
into investment grade ( Original ratings: 'AAA' 'AA' 'A' 'BBB'  'BB' 'B' 'CCC'  'D'   Relative ordering: (1) (2) (3) (4)  (5) (6) (7)  (8)   Grouped ratings: 'IG'  'SG'  'D'   Grouping edges: (4)  (7)  (8) In general, if Regarding the last element,


Structure, or a struct array of length
Following the examples in the description of the totalsGrouped.totalsVec = [6380 1145] totalsGrouped.totalsMat = [6341 39 0 1145] totalsGrouped.algorithm = 'cohort' 'duration' algorithm:totalsGrouped.totalsVec = [6362.45 1162.05] totalsGrouped.totalsMat = [0 39 0 0] totalsGrouped.algorithm = 'duration' 
Hanson, S., T. Schuermann, "Confidence Intervals for Probabilities of Default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281–2301, August 2006.
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.