A set of functions used to automate commonly used methods in credit risk to estimate migration (transition) matrices. The package includes multiple methods for bootstrapping default rates and forecasting/stress testing credit exposures migrations, via Econometric and Machine Learning approaches. More information can be found at <https://analyticsrusers.blog>.
| Version: | 0.3.3 |
| Depends: | R (≥ 2.2.0) |
| Imports: | chron, caret, e1071, expm, MASS, Matrix, matrixStats, neuralnet, nnet, pracma, tcltk, zoo, Rcpp (≥ 0.12.11) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Published: | 2018-07-17 |
| Author: | Ab NDiaye |
| Maintainer: | Ab NDiaye <ab.ndiaye at illumirisk.com> |
| License: | GPL-2 |
| NeedsCompilation: | yes |
| CRAN checks: | RTransProb results |
| Reference manual: | RTransProb.pdf |
| Package source: | RTransProb_0.3.3.tar.gz |
| Windows binaries: | r-devel: RTransProb_0.3.3.zip, r-release: RTransProb_0.3.3.zip, r-oldrel: RTransProb_0.3.3.zip |
| OS X binaries: | r-release: RTransProb_0.3.3.tgz, r-oldrel: RTransProb_0.3.3.tgz |
| Old sources: | RTransProb archive |
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