abaquant.credit.transitions

Import path: abaquant.credit.transitions

Domain: Credit-risk analytics and fundamentals-derived credit proxies.

Purpose

Credit-rating transition matrix construction.

When to use it

Use this package for transition matrices, spread-based valuation, CDS/CDO building blocks, copula simulation, tail risk, and accounting-based credit diagnostics.

Public objects

• function: build_transition_matrix — Build a credit-rating transition matrix under the selected not-rated treatment.

Detailed reference

Credit-rating transition matrix construction.

Purpose

The module turns raw migration-frequency data into a transition matrix with selectable treatment of the not-rated state.

Conventions

Rows follow the package rating-state order. The default state is absorbing when included by the selected convention.

References

[ 1 ] Li, D. X. (2000), “On Default Correlation: A Copula Function Approach”.

abaquant.credit.transitions.build_transition_matrix(raw_17x19=None, nr_treatment='redistribute')

Build a credit-rating transition matrix under the selected not-rated treatment.

Parameters:

• raw_17x19 (np.ndarray | None, default=None) – Raw credit-transition table in the documented 17-by-19 source layout.

• nr_treatment (str, default='redistribute') – Rule governing treatment of the not-rated transition state.

Returns:

Result of the build transition matrix calculation.

Return type:

np.ndarray