Simulate Credit Rating Migration Risk
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.
Objects
creditMigrationCopula | Simulate and analyze multifactor credit migration rating model |
Functions
simulate | Simulate credit migrations using creditMigrationCopula
object |
portfolioRisk | Generate portfolio-level risk measurements |
riskContribution | Generate risk contributions for each counterparty in portfolio |
confidenceBands | Confidence interval bands |
getScenarios | Counterparty 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
The migration-based multi-factor copula (creditMigrationCopula)
is similar to the creditDefaultCopula object.
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