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Corporate Credit Risk

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

Simulate default credit risk, given a portfolio of assets, to determine how much might be lost in a given time period due to credit defaults using the creditDefaultCopula object. Simulate credit portfolio value changes due to credit rating migrations of companies over some time period using the creditMigrationCopula object. Analyze the probability of a firm’s default using the Merton model and investigate the concentration risk of your assets using concentration indices. Additional tools to estimate default probabilities and transition probabilities are in Financial Toolbox™ and additional classification models are in Statistics and Machine Learning Toolbox™.

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