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Risk Management Toolbox

Develop risk models and perform risk simulation

Risk Management Toolbox™ provides functions and interactive workflows for mathematical modeling and simulation of credit, insurance, and market risk. You can perform lifetime credit modeling of probabilities of default (PD), exposure at default (EAD), and loss given default (LGD), as well as expected credit loss (ECL) calculations. You can assess corporate and consumer credit risk, create credit scorecards, estimate probabilities of default, perform credit portfolio analysis, and backtest models to assess potential for financial loss. The toolbox lets you identify important scorecard variables using the predictor screening tools and use the Binning Explorer app to automatically or manually bin variables for credit scorecards. It also includes mortality and unpaid claims models to quantify and analyze insurance risk. Market risk can be assessed with backtesting and simulation tools to evaluate value-at-risk (VaR) and expected shortfall (ES).

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Learn the basics of Risk Management Toolbox

Consumer Credit Risk

Risk of loss due to default on consumer credit products

Corporate Credit Risk

Risk of loss due to default on corporate credit products and migration of corporate credit ratings

Market Risk

Risk of loss arising from movements in market prices

Insurance Risk

Risk of loss arising from mortality and unpaid claims

Lifetime Models for Probability of Default

Estimate loss reserves based on lifetime analysis

Loss Given Default Models

Estimate loss given default

Exposure at Default Models

Estimate exposure at default