Simulate Default Credit Risk

Simulate default credit risk for a portfolio of credit instruments using copulas

Credit risk is the risk that counterparties may default on their financial obligations. Given a portfolio of credit instruments, credit risk determines how much might be lost in a given time period due to credit defaults. For more information on credit default simulations, see Credit Simulation Using Copulas.

Objects

creditDefaultCopula Create creditDefaultCopula object to simulate and analyze multifactor credit default model

Functions

`simulate`	Simulate credit defaults using a creditDefaultCopula object
`portfolioRisk`	Generate portfolio-level risk measurements
`riskContribution`	Generate risk contributions for each counterparty in portfolio
`confidenceBands`	Confidence interval bands
`getScenarios`	Counterparty scenarios

Examples and How To

Credit Simulation Using Copulas

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

creditDefaultCopula Simulation Workflow

This example shows a common workflow for using a creditDefaultCopula object for a portfolio of credit instruments.

This example explores how to simulate correlated counterparty defaults using a multifactor copula model.

Simulating Dependent Random Variables Using Copulas (Statistics and Machine Learning Toolbox)

This example shows how to use copulas to generate data from multivariate distributions when there are complicated relationships among the variables, or when the individual variables are from different distributions.

Modelling Tail Data with the Generalized Pareto Distribution (Statistics and Machine Learning Toolbox)

This example shows how to fit tail data to the Generalized Pareto distribution by maximum likelihood estimation.

Concepts