What Is Risk Management Toolbox
Risk Management Toolbox™ provides functions for mathematical modeling and simulation of credit and market risk. You can model probabilities of default, create credit scorecards, perform credit portfolio analysis, and backtest models to assess potential for financial loss. The toolbox lets you assess corporate and consumer credit risk as well as market risk. It includes an app for automatic and manual binning of variables for credit scorecards. It also includes simulation tools to analyze credit portfolio risk and backtesting tools to evaluate Value-at-Risk (VaR) and expected shortfall (ES).
Published: 24 Aug 2021
Risk Management Toolbox provides functions and apps for assessing and modeling risk, such as credit risk, market risk, and insurance risk. The consumer credit risk is assessed through a credit score card. The predictor screening tools helps you identify the features that are more useful to your model.
You can also use the Bidding Explorer App to perform interactive bidding for data sets, for the logistic regression model, score data, predict the outs for default based upon credit score, and validate the credit score card model. In the case of corporate credit risk, Risk Management Toolbox allows you to estimate probabilities of default using structural models, reduced form models, historical credit rating migrations, and statistical approaches.
For credit portfolio risk, you can use simulation techniques for credit defaults and credit migrations. The toolbox supports the asymptotic single-risk factor model and provides tools for portfolio concentration analysis. Additionally, the toolbox supports the modeling and validation of lifetime PD models, such as logistic, probit, and cox.
The toolbox also supports loss given default models and exposure at default models. In the event of market risk, Risk Management Toolbox provides model validation tools for value at risk and expected shortfall. You can also use a variety of tests to back-test the performance, evaluate risk in expected shortfall models.
Insurance risk, the ability to accurately estimate unpaid claims is important to insurers. You can use claims estimation methods for actuaries to use with the development triangle for estimating unpaid claims, such as chain letter and Cape Cod. For more information on Risk Management Toolbox, please visit the product page or click on the link below.