Risk Management Toolbox

Risk Management Toolbox™ supports mathematical modeling and simulation of credit, market, insurance, and climate risk. You can model lifetime probabilities of default (PD), exposure at default (EAD), and loss given default (LGD) and calculate expected credit losses (ECL). You can assess corporate and consumer credit risk, create credit scorecards, estimate PD, and perform credit portfolio analysis.

The toolbox lets you screen important scorecard variables and automatically or manually bin variables using the Binning Explorer app. You can assess market risk with value-at-risk (VaR) and expected shortfall (ES) models. The toolbox provides a comprehensive suite of model validation metrics for credit models and VaR and ES backtests. It also includes mortality and unpaid claims models to quantify and analyze insurance risk. You can visualize and analyze climate scenario data to assess physical or transition climate risk.