RTransProb

Analyze and Forecast Credit Migrations

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>.

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Description file content

Package
RTransProb
Type
Package
Title
Analyze and Forecast Credit Migrations
Version
0.3.3
Date
2018-07-16
Author
Ab NDiaye
Maintainer
Ab NDiaye
Description
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 .
LazyData
TRUE
RoxygenNote
6.0.1
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
License
GPL-2
NeedsCompilation
yes
Packaged
2018-07-17 14:52:30 UTC; Jamdoulaye
Repository
CRAN
Date/Publication
2018-07-17 17:10:11 UTC

install.packages('RTransProb')

0.3.3

2 months ago

Ab NDiaye

GPL-2

Depends on

R (>= 2.2.0)

Imports

chron, caret, e1071, expm, MASS, Matrix, matrixStats, neuralnet, nnet, pracma, tcltk, zoo, Rcpp (>= 0.12.11)

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