7 Financial Risks Modeled in MATLAB

By MathWorks Staff

Learn how you can use MATLAB to model all quantifiable risks and service multiple compliance regimes with agility, reproducibility, and robust model governance.

Credit and Counterparty Risk: Correlated Defaults with Copulas

Simulate correlated counterparty defaults using a multifactor copula model.

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Credit Risk Scorecard Models

Create a credit scorecard using the Bining Explorer app.

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Counterparty Credit Risk and CVA

Compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of interest rate swaps with several counterparties.

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Market and Liquidity Risk: An Integrated Example

Compute, stress-test, and manage liquidity risk, funding risk, and market risk in fully general multi-asset class portfolios.

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Operational Risk: Systematic Fraud Detection

Process heterogeneous data, construct and identify indicators for potential fraud, and train machine learning models to identify fraud candidates.

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Systemic Risk

Describe, visualize, and model risk contagion, with graph theory and Markov Chain Monte-Carlo.

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Stress Test

Comply with CCAR and EBA Stress Tests: Download macroeconomic data, generate shock scenarios on your predictive models, and report results.

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Published 2017

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