Examples of calculation thresholds

Estimating thresholds given a multi-period transition matrix set. Example of using portfolioAnalytics to compute multi-period transition thresholds compatible with a given transition matrix.

Rating Transition Thresholds

• calculate_thresholds.py

• validated_thresholds.py

• visualize_thresholds.py

Validate computed thresholds.

The mathematical framework documented in Multi-Period Transition Thresholds