Risk Management Toolbox

Develop risk models and perform risk simulation

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).

Getting Started

Learn the basics of Risk Management Toolbox

Consumer Credit Risk

Risk of loss due to default on consumer credit products

Corporate Credit Risk

Risk of loss due to default on corporate credit products and migration of corporate credit ratings

Market Risk

Risk of loss arising from movements in market prices