• documentation
main content

corporate credit risk -凯发k8网页登录

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™.

categories


  • simulate default credit risk for a portfolio of credit instruments using copulas

  • simulate credit portfolio value changes due to credit rating migrations using copulas

  • compute necessary capital using an asymptotic single risk factor (asrf) model

  • estimates the probability of default of a firm using the merton option pricing formula

  • compute concentration measures for credit portfolios

  • bootstrap cds probability curve, and determine cds price and spread using financial toolbox

  • bootstrap default probability curve from bond market prices using financial toolbox

  • estimate change in credit quality, model transition probabilities from credit rating data using financial toolbox

  • convert transition probabilities to credit quality thresholds and the opposite way using financial toolbox
网站地图