Folks,
I am working on a credit card defaults and transition probabilities. For example a single credit card account could be in a number of states: up-to-date, 30, 60, 90 days in arrears or in default.

* Are there packages in R that do estimation of the transition probabilities given historical cohort defaults?
* Any pointers to papers specific to this type of estimation?
* Simulation of future "paths" of defaults.

I know this is not strictly an R question so please feel free to slam me.

Afterwards I would appreciate any pointers you might have.

Thanks much for your time,
KW

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