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. This example also shows how to compute Basel capital requirements using an ASRF model.

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Credit Rating by Bagging Decision Trees

Build an automated credit rating tool.

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