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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).

Key Features

  • Binning explorer app for developing credit scorecards

  • Copula-based simulation tools for portfolios of credit instruments

  • Value-at-Risk (VaR) backtesting models for assessing market risk

  • Credit scorecard models for consumer credit risk simulation and assessment

  • Credit quality and transition probability models

  • Credit default swaps models

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