Skip to main content
Ctrl+K
financialkit logo financialkit logo
  • Subpackages
  • History
  • Examples
  • API
  • GitHub
  • PyPI
  • Subpackages
  • History
  • Examples
  • API
  • GitHub
  • PyPI

Section Navigation

  • CreditMetrics: credit VaR from rating migrations
  • Jarrow, Lando and Turnbull: generator matrices
  • Israel, Rosenthal and Wei: finding a valid generator
  • Rating migration

Rating migration#

Transition matrices in discrete and continuous time.

CreditMetrics: credit VaR from rating migrations

CreditMetrics: credit VaR from rating migrations

Jarrow, Lando and Turnbull: generator matrices

Jarrow, Lando and Turnbull: generator matrices

Israel, Rosenthal and Wei: finding a valid generator

Israel, Rosenthal and Wei: finding a valid generator
Show Source

© Copyright 2026, financialkit contributors.

Created using Sphinx 9.1.0.

Built with the PyData Sphinx Theme 0.23.0.