A set of functions used to automate commonly used methods in credit risk. This includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometrics and Machine Learning algorithms.
| Version: | 0.1.0 |
| Depends: | R (≥ 2.2.0) |
| Imports: | chron, e1071, expm, matrixStats, nnet, pracma, zoo |
| Published: | 2017-04-11 |
| Author: | Ab NDiaye |
| Maintainer: | Ab NDiaye <pabdndiaye at gmail.com> |
| License: | GPL-2 |
| NeedsCompilation: | no |
| CRAN checks: | RTransProb results |
| Reference manual: | RTransProb.pdf |
| Package source: | RTransProb_0.1.0.tar.gz |
| Windows binaries: | r-devel: RTransProb_0.1.0.zip, r-release: RTransProb_0.1.0.zip, r-oldrel: RTransProb_0.1.0.zip |
| OS X El Capitan binaries: | r-release: RTransProb_0.1.0.tgz |
| OS X Mavericks binaries: | r-oldrel: RTransProb_0.1.0.tgz |
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