Credit Rating Migration Matrix Analysis
Credit Rating Migration Matrix Analysis: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Given annual credit-rating transition matrices published by S&P via the ESMA CEREP database, consolidate them into a single average transition matrix on a standard 7-grade +…
The task
Given annual credit-rating transition matrices published by S&P via the ESMA CEREP database, consolidate them into a single **average transition matrix** on a standard 7-grade + Default scale, estimate **cumulative multi-year default probabilities**, test the **Markov property** across cohorts, and derive a…
Part of codeslord/skilltrainbench-public.