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Getting Started with Risk Management Toolbox



Risk Modeling with Risk Management Toolbox

Risk Management Toolbox™ provides tools for modeling three areas of risk assessment.

Overview of Binning Explorer

Binning Explorer app workflow for working with credit scorecards.

Credit Simulation Using Copulas

When using a creditDefaultCopula object, predicting the credit losses for a counterparty depends on three main elements.

Credit Rating Migration Risk

The migration-based multi-factor copula (creditMigrationCopula) is similar to the creditDefaultCopula object.

Default Probability by Using the Merton Model for Structural Credit Risk

The Merton model is structural because it gives a relationship between the default risk and the capital structure of the firm.

Concentration Indices

In financial risk applications, concentration is the opposite of diversification.

Overview of VaR Backtesting

Use multiple VaR Backtesting tools for assessing VaR models.

Overview of Expected Shortfall Backtesting

Use multiple Expected Shortfall Backtesting tools for assessing VaR models.


Binning Explorer Case Study Example

This example shows how to create a credit scorecard using the Binning Explorer app.

creditDefaultCopula Simulation Workflow

This example shows a common workflow for using a creditDefaultCopula object to measure default risk for a credit portfolio.

creditMigrationCopula Simulation Workflow

This example shows a common workflow for using a creditMigrationCopula object to measure credit migration risk for a credit portfolio.

VaR Backtesting Workflow

This example shows a value-at-risk (VaR) backtesting workflow and the use of VaR backtesting tools.

Expected Shortfall (ES) Backtesting Workflow Using Simulation

This example shows an expected shortfall (ES) backtesting workflow using simulation and the use of esbacktestbysim object.

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