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.

Documentation

Manual: RTransProb.pdf
Vignette: None available.

Maintainer: Ab NDiaye <pabdndiaye at gmail.com>

Author(s): Ab NDiaye

Install package and any missing dependencies by running this line in your R console:

install.packages("RTransProb")

Depends R (>= 2.2.0)
Imports chron, e1071, expm, matrixStats, nnet, pracma, zoo
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Package RTransProb
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Version 0.1.0
Published 2017-04-11
License GPL-2
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NeedsCompilation no
Citation
CRAN checks RTransProb check results
Package source RTransProb_0.1.0.tar.gz