Credit Risk

Credit risk, transition probabilities for credit ratings, credit quality thresholds, credit scorecards

Credit risk refers to the risk that a borrower may default on any type of debt by failing to make required payments. This toolbox provides a collection of tools for modeling credit risk analysis. These include modeling transition probabilities from credit rating data, converting transition probabilities to credit quality thresholds, and credit scorecard modeling.

Frequently Viewed Topics

Estimation of Transition Probabilities
Credit Scorecard Modeling Workflow
Case Study for Credit Scorecard Analysis
Bootstrapping a Default Probability Curve
Valuing an Existing CDS Contract
Finding Breakeven Spread for New CDS Contract
Counterparty Credit Risk and CVA (Financial Instruments Toolbox)
Wrong Way Risk with Copulas (Financial Instruments Toolbox)

Categories

Estimate Transition Probabilities
Estimate change in credit quality, model transition probabilities from credit rating data
Determine Credit Quality Thresholds
Convert transition probabilities to credit quality thresholds and the opposite way
Create Credit Scorecards
Credit scorecard modeling, binning, fitting a model, obtaining points and scores, model validation, probability of default, create compact scorecard
Credit Default Swaps
Bootstrap CDS probability curve, price, and determine CDS price and spread
Bootstrap Default Probabilities from Bonds
Bootstrap default probability curve from bond market prices
Counterparty Credit Risk
Counterparty credit risk models for exposures for calculating credit value adjustment (CVA)

Featured Examples

Forecasting Corporate Default Rates

Forecasting Corporate Default Rates

Build a forecasting model for corporate default rates.

Open Live Script

Credit Rating by Bagging Decision Trees

Credit Rating by Bagging Decision Trees

Build an automated credit rating tool.

Credit Rating by Ordinal Multinomial Regression

Credit Rating by Ordinal Multinomial Regression

Use ordinal multinomial logistic regression to build a credit rating model that you can use in an automated credit rating process.

(Risk Management Toolbox)

First-to-Default Swaps

First-to-Default Swaps

Price first-to-default (FTD) swaps under the homogeneous loss assumption.

(Financial Instruments Toolbox)

Explore Fairness Metrics for Credit Scoring Model

Explore Fairness Metrics for Credit Scoring Model

Calculate and use data and model metrics to investigate the biases that exist in a model.

(Risk Management Toolbox)

Bias Mitigation in Credit Scoring by Reweighting

Bias Mitigation in Credit Scoring by Reweighting

Use bias mitigation with a credit scorecard model to make it more fair.

(Risk Management Toolbox)

Bias Mitigation in Credit Scoring by Disparate Impact Removal

Bias Mitigation in Credit Scoring by Disparate Impact Removal

Use disparate impact removal as a pre-processing technique in bias mitigation to a credit scorecard model to reduce bias in the model.

(Risk Management Toolbox)

Interpretability and Explainability for Credit Scoring

Interpretability and Explainability for Credit Scoring

Different techniques for interpreting and explaining the logic behind credit scoring predictions.

(Risk Management Toolbox)