Corporate Credit Risk

Risk of loss due to default on corporate credit products and migration of corporate credit ratings

Simulate default credit risk, given a portfolio of assets, to determine how much might be lost in a given time period due to credit defaults using the creditDefaultCopula object. Simulate credit portfolio value changes due to credit rating migrations of companies over some time period using the creditMigrationCopula object. Analyze the probability of a firm’s default using the Merton model and investigate the concentration risk of your assets using concentration indices. Additional tools to estimate default probabilities and transition probabilities are in Financial Toolbox™ and additional classification models are in Statistics and Machine Learning Toolbox™.

Featured Examples

One-Factor Model Calibration

Demonstrates techniques to calibrate a one-factor model for estimating portfolio credit losses using the creditDefaultCopula or creditMigrationCopula classes.

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Calculating Regulatory Capital with the ASRF Model

Calculate capital requirements and value-at-risk (VaR) for a credit sensitive portfolio of exposures using the asymptotic single risk factor (ASRF) model.

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Credit Rating by Bagging Decision Trees

Build an automated credit rating tool.

Compare Deep Learning Networks for Credit Default Prediction

Create, train, and compare three deep learning networks for predicting credit default probability.

Measure Transition Risk for Loan Portfolios with Respect to Climate Scenarios

The effect of transition risk on portfolios of loans from two banks given three different climate scenarios. Potentially, climate change is a large structural change affecting the economy and the financial system. Clear physical risks are associated with climate change, including increases in the global average temperature and an increased frequency and severity of extreme weather events. These events could result in significant macroeconomic and financial system impacts. In addition to physical risk, another type of risk called transition risk arises from changes in policy and new technologies, such as the growth of renewable energy.

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Corporate Credit Risk

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Featured Examples

One-Factor Model Calibration

Calculating Regulatory Capital with the ASRF Model

Credit Rating by Bagging Decision Trees

Compare Deep Learning Networks for Credit Default Prediction

Measure Transition Risk for Loan Portfolios with Respect to Climate Scenarios