Credit Ratings SubPackage

This subpackage collects credit rating specific functionality

transitionMatrix.creditratings.creditcurve module

This module provides objects related to credit curves

  • CreditCurve implements the functionality of a collection of credit (default curves)

class transitionMatrix.creditratings.creditcurve.CreditCurve(values=None, json_file=None, csv_file=None)[source]

Bases: matrix

The CreditCurve object implements a typical collection of credit curves. The class inherits from numpy matrices and implements additional properties specific to curves.

characterize()[source]

Analyse or classify a credit curve according to its properties

  • slope of hazard rate

Todo

Further characterization

hazard_curve()[source]

Compute hazard rates

Todo

Compute hazard rates

Returns:

TODO

print_curve(format_type='Standard', accuracy=2)[source]

Pretty print a set of credit curves

Parameters:

  • format_type (str) – formatting options (Standard, Percent)

  • accuracy (int) – number of decimals to display

to_csv(file)[source]

Write credit curves to file in csv format

Parameters:

file – csv filename

to_html(file=None)[source]
to_json(file)[source]

Write credit curves to file in json format

Parameters:

file – json filename

validate(accuracy=0.001)[source]

Validate required properties of a credit curve set. The following are checked

  1. check that all values are probabilities (between 0 and 1)

  2. check that values are non-decreasing

Parameters:

accuracy (float) – accuracy level to use for validation

Returns:

List of tuples with validation messages

transitionMatrix.creditratings.creditsystems module

A collection of state space descriptions from recognized public credit rating scales. The list includes the following: Predefined state spaces (include CQS mappings)

  • AM Best Europe-Rating Services Ltd.

  • ARC Ratings S.A.

  • Cerved Rating Agency S.p.A.

  • Creditreform Rating AG

  • DBRS Ratings Limited

  • Fitch Ratings

  • Moody’s Investors Service

  • Scope Ratings AG

  • Standard & Poor’s Ratings Services

There are also mappings between major rating scales (e.g.SnP_Fitch2Moodys)

Warning

The mappings are nominal (as defined by regulation or convention) and do not necessarily indicate conceptual or statistical alignement!

transitionMatrix.creditratings.predefined module