Risk Management Toolbox

Develop risk models and perform risk simulation

Risk Management Toolbox™ provides functions for mathematical modeling and simulation of credit and market risk. You can model probabilities of default, create credit scorecards, perform credit portfolio analysis, and backtest models to assess potential for financial loss. The toolbox lets you assess corporate and consumer credit risk as well as market risk. It includes an app for automatic and manual binning of variables for credit scorecards. It also includes simulation tools to analyze credit portfolio risk and backtesting tools to evaluate value-at-risk (VaR) and expected shortfall (ES).

金融リスク管理: MATLABによるモデルガバナンスの改善


Capabilities

Binning Explorer App for Developing Credit Scorecards

Perform credit scorecard modeling processes.

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Credit Risk Simulation Using Copulas

Use a comprehensive suite of tools for simulating credit instruments based on a Gaussian copula or t copula. 

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Probability of Default (PD) Estimation Using Merton Models

Use Merton models to estimate the probability of default based on differing capital structures.

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Capital Calculations Using the ASRF Model

Use the Asymptotic Single Risk Factor (ASRF) model to perform capital requirement and Value-at-Risk calculations.

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Product Resources

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Documentation

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Functions

Browse the list of available Risk Management Toolbox functions.

System Requirements

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Technical Articles

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User Stories

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Community and Support

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Apps

Risk Management Toolbox apps enable you to quickly access common tasks through an interactive interface.


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Stuart

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Risk Management Toolbox Technical Expert

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Related Solutions

Use Risk Management Toolbox to solve scientific and engineering challenges:


News and Events

Forecasting Corporate Default Rates with MATLAB