Get Started with 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.

Tutorials

Overviews

• Risk Modeling with Risk Management Toolbox
  Learn about the tools for modeling seven areas of risk assessment.
• Credit Simulation Using Copulas
  When using a creditDefaultCopula object, predicting the credit losses for a counterparty depends on three main elements.
• Overview of VaR Backtesting
  Use multiple VaR Backtesting tools for assessing VaR models.
• Overview of Expected Shortfall Backtesting
  Use multiple Expected Shortfall Backtesting tools for assessing VaR models.

Workflows

• Bin Data to Create Credit Scorecards Using Binning Explorer
  Create a credit scorecard using the Binning Explorer app.
• creditDefaultCopula Simulation Workflow
  This example shows a common workflow for using a creditDefaultCopula object to measure default risk for a credit portfolio.
• creditMigrationCopula Simulation Workflow
  This example shows a common workflow for using a creditMigrationCopula object to measure credit migration risk for a credit portfolio.
• VaR Backtesting Workflow
  This example shows a value-at-risk (VaR) backtesting workflow and the use of VaR backtesting tools.
• Expected Shortfall (ES) Backtesting Workflow with No Model Distribution Information
  This example shows an expected shortfall (ES) backtesting workflow with no model distribution information and the use of esbacktest object.
• Expected Shortfall (ES) Backtesting Workflow Using Simulation
  This example shows an expected shortfall (ES) backtesting workflow using simulation and the use of esbacktestbysim object.