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Risk Management Toolbox Functions

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
simulateSimulate credit defaults using a creditDefaultCopula object
portfolioRiskGenerate portfolio-level risk measurements
riskContributionGenerate risk contributions for each counterparty in portfolio
confidenceBandsConfidence interval bands
getScenariosCounterparty scenarios

Simulate Credit Rating Migration Risk

creditMigrationCopulaSimulate and analyze multifactor credit migration rating model
simulateSimulate credit migrations using creditMigrationCopula object
portfolioRiskGenerate portfolio-level risk measurements
riskContributionGenerate risk contributions for each counterparty in portfolio
confidenceBandsConfidence interval bands
getScenariosCounterparty scenarios

Asymptotic Single Risk Factor Model Capital

asrfAsymptotic Single Risk Factor (ASRF) capital

Default Probability Using Merton Model

mertonmodel Estimates probability of default using Merton model
mertonByTimeSeriesEstimate default probability using time-series version of Merton model

Concentration Indices

concentrationIndicesCompute ad-hoc concentration indices for a portfolio

Credit Default Swaps

cdspriceDetermine price for credit default swap
cdsspreadDetermine spread of credit default swap

Bootstrap Default Probabilities from Bonds

bondDefaultBootstrapBootstrap default probability curve from bond prices

Estimate Transition Probabilities

transprobEstimate transition probabilities from credit ratings data

Determine Credit Quality Thresholds

transprobfromthresholdsConvert from credit quality thresholds to transition probabilities
transprobtothresholdsConvert from transition probabilities to credit quality thresholds

Market Risk

VaR Backtest

varbacktestCreate varbacktest object to run suite of value-at-risk (VaR) backtests
summaryReport on varbacktest data
runtestsRun all tests in varbacktest
tlTraffic light test for value-at-risk (VaR) backtesting
binBinomial test for value-at-risk (VaR) backtesting
pofProportion of failures test for value-at-risk (VaR) backtesting
tuffTime until first failure test for value-at-risk (VaR) backtesting
ccConditional coverage mixed test for value-at-risk (VaR) backtesting
cciConditional coverage independence test for value-at-risk (VaR) backtesting
tbfTime between failures mixed test for value-at-risk (VaR) backtesting
tbfiTime between failures independence test for value-at-risk (VaR) backtesting

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
summaryBasic expected shortfall (ES) report on failures and severity
runtestsRun all expected shortfall (ES) backtests for esbacktest object
unconditionalNormalUnconditional expected shortfall (ES) backtest with critical values for normal distributions
unconditionalTUnconditional expected shortfall (ES) backtest with critical values for t distributions
summaryBasic expected shortfall (ES) report on failures and severity
runtestsRun all expected shortfall backtests (ES) for esbacktestbysim object
conditionalConditional expected shortfall (ES) backtest
unconditionalUnconditional expected shortfall backtest
quantileQuantile expected shortfall (ES) backtest
simulateSimulate expected shortfall (ES) test statistics
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