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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