Credit Risk
Analyze and manage risk associated with borrowing
Credit risk is the potential for a loss when a borrower cannot make payments as obligated to a lender. Credit risk is commonly measured and communicated as the likelihood or probability of an individual borrower’s default. Most lenders employ sophisticated models to analyze risk, rank customers, and decide on appropriate strategies for managing credit risk.
Leading financial institutions use MATLAB to build models that manage credit risk. With Statistics Toolbox and Financial Toolbox, you can build customized credit risk models, perform Monte Carlo simulations, and analyze scenarios to assess risk exposure arising from borrowing or lending.
Examples and How To
- Credit Risk Modeling with MATLAB (Webinar)
- Banche Popolari Unite Analyzes Credit Risk Using MATLAB (User Story)
- Basel II Compliance and Risk Management Analysis (Article)
- Credit Rating by Bagging Decision Trees (Example)
- Estimation of Transition Probabilities (Example)
Software Reference
- Credit Risk Analysis (Documentation)
- Estimate Transition Probabilities from Credit Ratings (Function)
- Estimate Transition Probabilities from Preprocessed Credit Ratings Data (Function)
- Bagged Decision Trees (Function)
See also: risk management, Monte Carlo simulation
