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™.