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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

creditDefaultCopulaCreate creditDefaultCopula object to simulate and analyze multifactor credit default model

Functions

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

Examples and How To

Concepts