Credit Curves¶
A Credit Curve denotes a grouping of credit risk metrics (parameters) that provide estimates that a legal entity experiences a Credit Event over different (an increasing sequence of longer) time periods. See Credit Curves
A multi-period matrix and a credit curve are closely related objects (under some circumstances the later can be thought of as a subset of the former). The transitionMatrix package offers the following main functionality concerning credit curves:
- The
transitionMatrix.creditratings.creditcurve.CreditCurveclass for storing and working with credit curves - The
transitionMatrix.model.TransitionMatrixSet.default_curves()transitionMatrixSet method that extracts from a matrix set the default curve
Example: Calculate and Plot Credit Curves¶
Example of using transitionMatrix to calculate and visualize multi-period
- Script: examples/python/credit_curves.py
