An equivalent way to represent transition probabilities is by transforming them into credit quality thresholds. These are critical values of a standard normal distribution that yield the same transition probabilities. Financial Toolbox™ supports the transformation between transition probabilities and credit quality thresholds.
transprobfromthresholds | Convert from credit quality thresholds to transition probabilities |
transprobtothresholds | Convert from transition probabilities to credit quality thresholds |
Use transition probabilities by transforming them into credit quality thresholds.