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).
Binning Explorer app for developing credit scorecards
Credit risk simulation using copulas
Probability of Default (PD) estimation using Merton model
Concentration risk indices for identifying and controlling large exposure
Capital calculations using the ASRF model
Value-at-Risk (VaR) and expected shortfall (ES) backtesting models for assessing market risk