A value-at-risk (VaR) backtesting workflow and the use of VaR backtesting tools. For a more comprehensive example of VaR backtesting, see Value-at-Risk Estimation and Backtesting .
A common workflow for using a creditMigrationCopula object for a portfolio of counterparty credit ratings.
An expected shortfall (ES) backtesting workflow using the esbacktestbysim object. The tests supported in the esbacktestbysim object require as inputs not only the test data ( Portfolio ,
A common workflow for using a creditDefaultCopula object for a portfolio of credit instruments.
Work with consumer (retail) credit panel data to visualize observed default rates at different levels. It also shows how to fit a model to predict probabilities of default and perform a
Explores how to simulate correlated counterparty defaults using a multifactor copula model.
Simulate random portfolios with different distributions and compare their concentration indices. For illustration purposes, a lognormal and Weibull distribution are used. The
Compare the Merton model approach, where equity volatility is provided, to the time series approach.
Calculate capital requirements and value-at-risk (VaR) for a credit sensitive portfolio of exposures using the asymptotic single risk factor (ASRF) model. This example also shows how to
Sweep through a range of values for an existing exposure from 0 to double the current value and plot the corresponding values. This could be used as one criterion (among others) for assessing
Estimate the value-at-risk (VaR) using three methods, and how to perform a VaR backtesting analysis. The three methods are: