Withdrawn Ratings

Withdrawn ratings are a common issue that needs to be handled in the context of estimating transition matrices. See right censoring issues

Adjust NR (Not Rated) States

Adjusting for NR states can be done via the transitionMatrix.model.TransitionMatrix.remove() method.

Single Period Matrix

Example of using transitionMatrix to adjust the (not-rated) NR state. Input data are the Standard and Poor’s historical data (1981 - 2016) for corporate credit rating migrations. Example of handling

• Script: examples/python/adjust_nr_states.py

Multi-period Matrix

• Script: examples/python/fix_multiperiod_matrix.py

Example of using transitionMatrix to detect and solve various pathologies that might be affecting transition matrix data