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Simulate Credit Rating Migration Risk

Simulate credit portfolio value changes due to credit rating migrations using copulas

The creditMigrationCopula object takes as input a portfolio of credit-sensitive positions with a set of counterparties and performs a copula-based, multifactor simulation of credit rating migrations. Counterparty credit rating migrations and subsequent changes in portfolio value are calculated for each scenario and several risk measurements are reported. For more information on credit migration, see Credit Rating Migration Risk.

Using Objects

creditMigrationCopulaSimulate and analyze multifactor credit migration rating model

Functions

simulateSimulate credit migrations using creditMigrationCopula object
portfolioRiskGenerate portfolio-level risk measurements
riskContributionGenerate risk contributions for each counterparty in portfolio
confidenceBandsConfidence interval bands
getScenariosCounterparty scenarios

Examples and How To

creditMigrationCopula Simulation Workflow

This example shows a common workflow for using a creditMigrationCopula object to measure credit migration risk for a credit portfolio.

Concepts

Credit Rating Migration Risk

The migration-based multi-factor copula (creditMigrationCopula) is similar to the creditDefaultCopula object.

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