Credit Migrations using TransitionMatrix

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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 CrashProgram
PYT26038

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