transprobbytotals
Estimate transition probabilities using totals
structure
input
Syntax
Description
[
estimates transition probabilities using a transMat
,sampleTotals
] = transprobbytotals(totals
)totals
structure
input. transprobbytotals
is useful for removing outlier
information, obtaining bootstrapped confidence intervals, or computing
transition probability estimates for different periodicity parameters (1-year
transitions, 2-year transitions, and so on) efficiently.
[
adds optional name-value pair arguments. transMat
,sampleTotals
] = transprobbytotals(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[1] Hanson, S., T. Schuermann. "Confidence Intervals for Probabilities of Default." Journal of Banking & Finance. Vol. 30(8), Elsevier, August 2006, pp. 2281–2301.
[2] Löffler, G., P. N. Posch. Credit Risk Modeling Using Excel and VBA. West Sussex, England: Wiley Finance, 2007.
[3] Schuermann, T. "Credit Migration Matrices." in E. Melnick, B. Everitt (eds.), Encyclopedia of Quantitative Risk Analysis and Assessment. Wiley, 2008.
Version History
Introduced in R2010b