Forecast Corporate Default Rates

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Introduction Example

Introduction

Risk parameters are dynamic in nature. Understanding how these parameters change in time is a fundamental task for risk management. The "Forecasting Corporate Default Rates" demo uses historical credit migrations data to construct some time series of interest, and to visualize default rates dynamics. The demo also fits a forecasting model for corporate default rates, demonstrates backtesting and stress testing concepts, and touches on the handling of forecasting models for full transition matrices.

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Example

To run the Forecasting Corporate Default Rates demo at the MATLAB command line, enter:

showdemo Demo_DefaultRatesForecasts

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Estimation of Transition Probabilities

Credit Quality Thresholds

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