Hi,

R has a package called CreditMetrics which has the ability to do CVaR
calculations and other credit-related computations. I tried using it
once and found that it "sort of" worked. I write "sort of" because when
I tried to create a custom credit rating transition matrix, it didn't
work. My guess is that the matrices were non-conformable. Anyway, try
that out and see if it works.

Best regards,

Sarbo

On Tue, 2010-01-12 at 12:41 -0200, Ricardo Ginçalves Silva wrote:

> Dear Users,
> 
> I  would like to know how can I compute credit rating migration matrix using R.
> I have 10 years data (monthly rates for each firm) and I would like 
> to compute 12 (and more) months ahead migrations.
> Any hints? Or a general purpose code to do it?
> 
> Best 
> 
> Rick
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