Risk Management Toolbox™ provides functions for mathematical modeling and simulation of credit and market risk. You can model probabilities of default, create credit scorecards, perform credit portfolio analysis, and backtest models to assess potential for financial loss. The toolbox lets you assess corporate and consumer credit risk as well as market risk. It includes an app for automatic and manual binning of variables for credit scorecards. It also includes simulation tools to analyze credit portfolio risk and backtesting tools to evaluate Value-at-Risk (VaR) and expected shortfall (ES).
Risk Modeling with Risk Management Toolbox
Risk Management Toolbox provides tools for modeling three areas of risk assessment.
Credit Simulation Using Copulas
When using a creditDefaultCopula object,
predicting the credit losses for a counterparty depends on three main
elements.
Use multiple VaR Backtesting tools for assessing VaR models.
Overview of Expected Shortfall Backtesting
Use multiple Expected Shortfall Backtesting tools for assessing VaR models.
Binning Explorer Case Study Example
This example shows how to create a credit scorecard using the Binning Explorer app.
creditDefaultCopula Simulation Workflow
This example shows a common workflow for using a
creditDefaultCopula object to measure default
risk for a credit portfolio.
creditMigrationCopula Simulation Workflow
This example shows a common workflow for using a
creditMigrationCopula object to measure
credit migration risk for a credit portfolio.
This example shows a value-at-risk (VaR) backtesting workflow and the use of VaR backtesting tools.
Expected Shortfall (ES) Backtesting Workflow with No Model Distribution Information
This example shows an expected shortfall (ES) backtesting workflow with no
model distribution information and the use of esbacktest
object.
Expected Shortfall (ES) Backtesting Workflow Using Simulation
This example shows an expected shortfall (ES) backtesting workflow using
simulation and the use of esbacktestbysim object.