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Risk Management Toolbox Functions

Alphabetical List By Category
asrfAsymptotic Single Risk Factor (ASRF) capital
binBinomial test for value-at-risk (VaR) backtesting
bondDefaultBootstrapBootstrap default probability curve from bond prices
ccConditional coverage mixed test for value-at-risk (VaR) backtesting
cciConditional coverage independence test for value-at-risk (VaR) backtesting
cdspriceDetermine price for credit default swap
cdsspreadDetermine spread of credit default swap
concentrationIndicesCompute ad-hoc concentration indices for a portfolio
conditionalConditional expected shortfall (ES) backtest
confidenceBandsConfidence interval bands
confidenceBandsConfidence interval bands
creditDefaultCopulaCreate creditDefaultCopula object to simulate and analyze multifactor credit default model
creditMigrationCopulaSimulate and analyze multifactor credit migration rating model
creditscorecardCreate creditscorecard object to build credit scorecard model
esbacktestCreate esbacktest object to run suite of table-based expected shortfall (ES) backtests
esbacktestbysimCreate esbacktestbysim object to run simulation-based suite of expected shortfall (ES) backtests
getScenariosCounterparty scenarios
getScenariosCounterparty scenarios
mertonByTimeSeriesEstimate default probability using time-series version of Merton model
mertonmodel Estimates probability of default using Merton model
pofProportion of failures test for value-at-risk (VaR) backtesting
portfolioRiskGenerate portfolio-level risk measurements
portfolioRiskGenerate portfolio-level risk measurements
quantileQuantile expected shortfall (ES) backtest
riskContributionGenerate risk contributions for each counterparty in portfolio
riskContributionGenerate risk contributions for each counterparty in portfolio
runtestsRun all tests in varbacktest
runtestsRun all expected shortfall (ES) backtests for esbacktest object
runtestsRun all expected shortfall backtests (ES) for esbacktestbysim object
simulateSimulate credit defaults using a creditDefaultCopula object
simulateSimulate credit migrations using creditMigrationCopula object
simulateSimulate expected shortfall (ES) test statistics
summaryReport on varbacktest data
summaryBasic expected shortfall (ES) report on failures and severity
summaryBasic expected shortfall (ES) report on failures and severity
tbfTime between failures mixed test for value-at-risk (VaR) backtesting
tbfiTime between failures independence test for value-at-risk (VaR) backtesting
tlTraffic light test for value-at-risk (VaR) backtesting
transprobEstimate transition probabilities from credit ratings data
transprobfromthresholdsConvert from credit quality thresholds to transition probabilities
transprobtothresholdsConvert from transition probabilities to credit quality thresholds
tuffTime until first failure test for value-at-risk (VaR) backtesting
unconditionalUnconditional expected shortfall backtest
unconditionalNormalUnconditional expected shortfall (ES) backtest with critical values for normal distributions
unconditionalTUnconditional expected shortfall (ES) backtest with critical values for t distributions
varbacktestCreate varbacktest object to run suite of value-at-risk (VaR) backtests
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