Videos and Webinars

Forecasting Corporate Default Rates with MATLAB

This webinar shows how to build a forecasting model for corporate default rates with MATLAB.

Topics include:

  • Working with historical credit migrations data to construct time series of interest and to visualize default rates dynamics
  • Using statistical and econometric tools to fit and analyze a forecasting model for corporate default rates
  • Backtesting the forecasting model
  • Visualizing risk regions for scenario analysis and stress testing
  • Forecasting full transition matrices

Presenter: Gabo Lopez-Calva

Product Focus

  • Financial Toolbox
  • Econometrics Toolbox
  • Optimization Toolbox
  • Statistics Toolbox

Recorded: 4 Apr 2012