Basel III introduced additional regulatory requirements and revised risk calculation methodologies. Get help with common tasks associated with Basel III compliance using MATLAB® and this set of code examples:
- Value-at-Risk Estimation and Backtesting
Estimate the value-at-risk (VaR) with up to 99% confidence using three methods: normal distribution, historical simulation, and exponential weighted moving average (EWMA), and perform a VaR backtesting analysis.
- Forecasting Corporate Default Rates
Build a forecasting model using historical credit migrations data to construct a time series of interest and to visualize default rate dynamics, then apply backtesting and stress-testing concepts.
- Counterparty Credit Risk and CVA
Compute the unilateral credit value adjustment (CVA) for a bank holding a portfolio of vanilla interest rate swaps with several counterparties.
- Building, Scaling, and Implementing Risk Model and Stress Test
Learn how to build an integrated and efficient risk management and stress testing stack to generate scenarios, build, scale, and apply models, and communicate regulatory and economic capital calculations to CROs, compliance officers, and other stakeholders.