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).
Develop risk models and perform risk simulation
Risk Management Toolbox Overview
Finanz-Risikomanagement: Verbesserung der Modell-Governance mit MATLAB
Capabilities
Binning Explorer App for Developing Credit Scorecards
Perform credit scorecard modeling processes.
Learn moreCredit Scorecard Models for Consumer Credit Risk Simulation and Assessment
Efficiently execute common credit analysis tasks.
Learn moreCredit Risk Simulation Using Copulas
Use a comprehensive suite of tools for simulating credit instruments based on a Gaussian copula or t copula.
Learn moreProbability of Default (PD) Estimation Using Merton Models
Use Merton models to estimate the probability of default based on differing capital structures.
Learn moreConcentration Risk Indices for Identifying and Controlling Large Exposures
Calculate various concentration risk indices.
Learn moreCapital Calculations Using the ASRF Model
Use the Asymptotic Single Risk Factor (ASRF) model to perform capital requirement and Value-at-Risk calculations.
Learn moreValue-at-Risk (VaR) and Expected Shortfall (ES) Backtesting Models for Assessing Market Risk
Perform VaR backtesting on multiple portfolios.
Learn moreProduct Resources
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Documentation
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Functions
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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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Risk Management Toolbox requires: Statistics and Machine Learning Toolbox, Financial Toolbox, MATLAB, Optimization Toolbox
Related Solutions
Use Risk Management Toolbox to solve scientific and engineering challenges:
