Release of version 0.4.1 of the transitionMatrix package focuses on stressing transition matrices
- Feature: Added functionality for conditioning multi-period transition matrices
- Training: Example calculation and visualization of conditional matrices
- Datasets: State space description and CGS mappings for top-6 credit rating agencies
Conditional Transition Probabilities
The calculation of conditional transition probabilities given an empirical transition matrix is a highly non-trivial task involving many modelling assumptions. This version of the transitionMatrix includes a canonical implementation that assumes a Gaussian single factor process as the driver of the joint rating dynamics. The technical documentation is available under in Open Risk Manual under the transition matrix category.
Predefined Credit Rating System Descriptions
This release includes also the state space description (labels, mappings to CQS etc.) for the six largest credit rating agencies (NB: by European market share)