Simulate credit migrations using creditMigrationCopula
object
performs the full simulation of credit scenarios and computes changes in value
due to credit rating changes for the portfolio defined in the
cmc
= simulate(cmc
,NumScenarios
)creditMigrationCopula
object. For more information on
using a creditMigrationCopula
object, see creditMigrationCopula
.
Note
When creating a creditMigrationCopula
object, you can set the 'UseParallel'
property if you
have Parallel Computing Toolbox™. Once the 'UseParallel'
property is
set, parallel processing is used to compute
simulate
.
adds optional name-value pair arguments for (cmc
= simulate(___,Name,Value
)Copula
,
DegreesOfFreedom
, and BlockSize
).
[1] Crouhy, M., Galai, D., and Mark, R. “A Comparative Analysis of Current Credit Risk Models.” Journal of Banking and Finance. Vol. 24, 2000, pp. 59–117.
[2] Gordy, M. “A Comparative Anatomy of Credit Risk Models.” Journal of Banking and Finance. Vol. 24, 2000, pp. 119–149.
[3] Gupton, G., Finger, C., and Bhatia, M. “CreditMetrics – Technical Document.” J. P. Morgan, New York, 1997.
[4] Jorion, P. Financial Risk Manager Handbook. 6th Edition. Wiley Finance, 2011.
[5] Löffler, G., and Posch, P. Credit Risk Modeling Using Excel and VBA. Wiley Finance, 2007.
[6] McNeil, A., Frey, R., and Embrechts, P. Quantitative Risk Management: Concepts, Techniques, and Tools. Princeton University Press, 2005.
confidenceBands
| creditMigrationCopula
| getScenarios
| portfolioRisk
| riskContribution
| table