Transition probabilities offer a way to characterize the past changes in credit quality of obligors (typically firms), and are cardinal inputs to many risk management applications. Financial Toolbox™ supports the estimation of transition probabilities using both cohort and duration (also known as hazard rate or intensity) approaches using
transprob and related functions.
|Estimate transition probabilities from credit ratings data|
|Estimate transition probabilities using |
|Aggregate credit ratings information into fewer rating categories|
|Preprocess credit ratings data to estimate transition probabilities|
Use estimation transition probabilities to evaluate credit migration histories.
This example shows how to visualize credit rating transitions that are used as an input to the
Use transition probabilities by transforming them into credit quality thresholds.
This example shows how to build an automated credit rating tool.
This example shows how to build a forecasting model for corporate default rates.