Simulate Default Credit Risk
Credit risk is the risk that counterparties may default on their financial obligations. Given a portfolio of credit instruments, credit risk determines how much might be lost in a given time period due to credit defaults. For more information on credit default simulations, see Credit Simulation Using Copulas.
Objects
creditDefaultCopula | Create creditDefaultCopula object to simulate and analyze
multifactor credit default model |
Functions
simulate | Simulate credit defaults using a creditDefaultCopula
object |
portfolioRisk | Generate portfolio-level risk measurements |
riskContribution | Generate risk contributions for each counterparty in portfolio |
confidenceBands | Confidence interval bands |
getScenarios | Counterparty scenarios |
Topics
- Credit Simulation Using Copulas
When using a
creditDefaultCopulaobject, predicting the credit losses for a counterparty depends on three main elements. - creditDefaultCopula Simulation Workflow
This example shows a common workflow for using a
creditDefaultCopulaobject to measure default risk for a credit portfolio. - Modeling Correlated Defaults with Copulas
This example explores how to simulate correlated counterparty defaults using a multifactor copula model.
- Modeling Probabilities of Default with Cox Proportional Hazards
This example shows how to work with consumer (retail) credit panel data to visualize observed probabilities of default (PDs) at different levels.
- Simulate Dependent Random Variables Using Copulas
Use copulas to generate data from multivariate distributions with complicated relationships among the variables, or with the individual variables from different distributions.
- Modeling Tail Data with the Generalized Pareto Distribution
Fit tail data to the Generalized Pareto distribution by maximum likelihood estimation.
- Credit Simulation Using Copulas
When using a
creditDefaultCopulaobject, predicting the credit losses for a counterparty depends on three main elements.
