Hello all,
I have tried to develop something through SAS PROC IML in order to calculate a Credit Rating Transition Matrix for a specific sample, considering the cohort and hazard rate approaches, and also some confidence levels using bootstrap. This website (https://analyticsrusers.blog/2017/08/15/use-r-to-easily-estimate-migration-matrices-with-rtransprob-...) provides some specific examples regarding the "RTransprob" package which contains a set of functions used to automate commonly used methods to estimate migration matrices used in credit risk analysis. I'd like to do the same, however, through SAS instead of R. I have a SAS dataset containing the following attributes: CustomerId,Date,Rating,RatingNum.
I'm sending as an attached files:
a) Input_RatingTransitionMatrix(3).txt = Text file containing the data used for calculating the transition matrices
b) Output_RatingTransitionMatrix(1).xlsx = Excel file that illustrates the final results provided by the specific R package
I would be so grateful if you are able to send me a code developed in SAS in order to achieve the same/or similar results.
Thanks in advance.
Rgs,
Raphael