Credit Migrations using TransitionMatrix

Course Description, Transition Matrix
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Python is the swiss knife of modern programming languages and a prime candidate to be also the swiss knife for risk modelling

Summary

This course is a CrashProgram (short course) in the use of Python and the package TransitionMatrix for analysing credit migration data.

Requirements

The course is at a medium technical level. It requires some familiarity with python (and a working installation that includes the common numpy/scipy libraries). On the risk modelling side it requires knowledge of basic credit rating migration concepts.

Outcomes

Step by step we build the knowledge required to use python to analyse credit migration data:

  • We learn to work with basic transition matrix data objects
  • We explore the estimation of matrices using the cohort method
  • We look into visualization of data sets
  • The working examples are based on both synthetic data and the published LendingClub dataset

Course Level and Type

Introductory Level Core Level Advanced Level
Non-Technical
Technical PYT26038

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