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Risk Management Toolbox Classes

Alphabetical List By Category

Consumer Credit Risk

Create and Analyze Credit Scorecards

creditscorecardCreate creditscorecard object to build credit scorecard model

Corporate Credit Risk

Simulate Default Credit Risk

creditDefaultCopulaCreate creditDefaultCopula object to simulate and analyze multifactor credit default model

Simulate Credit Rating Migration Risk

creditMigrationCopulaSimulate and analyze multifactor credit migration rating model

Market Risk

VaR Backtest

varbacktestCreate varbacktest object to run suite of value-at-risk (VaR) backtests

Expected Shortfall Backtest

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
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