Risk Management Toolbox

Develop risk models and perform risk simulation

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).

CECL and IFRS 9 Modeling in MATLAB: Measuring Lifetime Expected Credit Losses


Binning Explorer App for Developing Credit Scorecards

Perform credit scorecard modeling processes.

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Credit Risk Simulation Using Copulas

Use a comprehensive suite of tools for simulating credit instruments based on a Gaussian copula or t copula. 

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Probability of Default (PD) Estimation Using Merton Models

Use Merton models to estimate the probability of default based on differing capital structures.

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Capital Calculations Using the ASRF Model

Use the Asymptotic Single Risk Factor (ASRF) model to perform capital requirement and Value-at-Risk calculations.

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Browse the list of available Risk Management Toolbox functions.

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Risk Management Toolbox apps enable you to quickly access common tasks through an interactive interface.

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