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)
transprob and related
|Estimate transition probabilities from credit ratings data|
|Estimate transition probabilities using totals structure input|
|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.
Credit Rating by Bagging Decision Trees (Statistics and Machine Learning Toolbox)
This example shows how to build an automated credit rating tool.
This example shows how to build a forecasting model for corporate default rates.