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 monthly cohort defaults?
- Any pointers to papers specific to this type of estimation?
- Simulation of future "paths" of defaults.
Note that transitions occur discretely on a monthly basis.
Thanks much for your time, KW