Credit risk is the potential for a loss when a borrower cannot make payments as obligated to a lender. Credit risk is commonly measured and communicated as the likelihood or probability of an individual borrower’s default. Most lenders employ sophisticated models to analyze risk, rank customers, and decide on appropriate strategies for managing this risk.
Effective techniques for managing and analyzing risk include:
transprob: Estimate transition probabilities from credit ratings (Function)
transprobbytotals: Estimate transition probabilities from preprocessed credit ratings data (Function)
TreeBagger: Bagged decision trees (Class)