Corporate Credit Risk

• Simulate Default Credit Risk
  Simulate default credit risk for a portfolio of credit instruments using copulas
  
• Simulate Credit Rating Migration Risk
  Simulate credit portfolio value changes due to credit rating migrations using copulas
  
• Asymptotic Single Risk Factor Model Capital
  Compute necessary capital using an asymptotic single risk factor (ASRF) model
  
• Default Probability Using Merton Model
  Estimates the probability of default of a firm using the Merton option pricing formula
  
• Concentration Indices
  Compute concentration measures for credit portfolios
  
• Credit Default Swaps
  Bootstrap CDS probability curve, and determine CDS price and spread using Financial Toolbox
  
• Bootstrap Default Probabilities from Bonds
  Bootstrap default probability curve from bond market prices using Financial Toolbox
  
• Estimate Transition Probabilities
  Estimate change in credit quality, model transition probabilities from credit rating data using Financial Toolbox
  
• Determine Credit Quality Thresholds
  Convert transition probabilities to credit quality thresholds and the opposite way using Financial 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.