Aggregate credit ratings information into fewer rating categories
aggregates the credit ratings information stored in the
totalsGrouped
= transprobgrouptotals(totals
,groupingEdges
)totals
input into fewer ratings categories, which are
defined by the groupingEdges
argument.
[1] Hanson, S., T. Schuermann. "Confidence Intervals for Probabilities of Default." Journal of Banking & Finance. Vol. 30(8), Elsevier, August 2006, pp. 2281–2301.
[2] Löffler, G., P. N. Posch. Credit Risk Modeling Using Excel and VBA. West Sussex, England: Wiley Finance, 2007.
[3] Schuermann, T. "Credit Migration Matrices." in E. Melnick, B. Everitt (eds.), Encyclopedia of Quantitative Risk Analysis and Assessment. Wiley, 2008.