Sweep through a range of values for an existing exposure from 0 to double the current value and plot the corresponding values. This could be used as one criterion (among others) for assessing
Compare the Merton model approach, where equity volatility is provided, to the time series approach.
A value-at-risk (VaR) backtesting workflow and the use of VaR backtesting tools. For a more comprehensive example of VaR backtesting, see docid:risk_ug.bvejh6e-1.
A common workflow for using a creditDefaultCopula object for a portfolio of credit instruments.
A common workflow for using a creditMigrationCopula object for a portfolio of counterparty credit ratings.
An expected shortfall (ES) backtesting workflow using the esbacktestbysim object. The tests supported in the esbacktestbysim object require as inputs not only the test data (Portfolio,
Estimate the value-at-risk (VaR) using three methods, and how to perform a VaR backtesting analysis. The three methods are:
Work with consumer (retail) credit panel data to visualize observed default rates at different levels. It also shows how to fit a model to predict probabilities of default and perform a
Explores how to simulate correlated counterparty defaults using a multifactor copula model.
Calculate capital requirements and value-at-risk (VaR) for a credit sensitive portfolio of exposures using the asymptotic single risk factor (ASRF) model. This example also shows how to