Simulate Credit Rating Migration Risk

Simulate credit portfolio value changes due to credit rating migrations using copulas

ThecreditMigrationCopulaobject takes as input a portfolio of credit-sensitive positions with a set of counterparties and performs a copula-based, multifactor simulation of credit rating migrations. Counterparty credit rating migrations and subsequent changes in portfolio value are calculated for each scenario and several risk measurements are reported. For more information on credit migration, see信用评级迁移风险.

Objects

creditMigrationCopula Simulate and analyze multifactor credit migration rating model

Functions

`simulate`	Simulate credit migrations using`creditMigrationCopula`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

creditMigrationCopula Simulation Workflow
这个服务le shows a common workflow for using acreditMigrationCopulaobject to measure credit migration risk for a credit portfolio.

Concepts

信用评级迁移风险
The migration-based multi-factor copula (creditMigrationCopula) is similar to thecreditDefaultCopulaobject.