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.CreditCurve class 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