Credit Risk

• Estimate Transition Probabilities
  Estimate change in credit quality, model transition probabilities from credit rating data
  
• Determine Credit Quality Thresholds
  Convert transition probabilities to credit quality thresholds and the opposite way
  
• Create Credit Scorecards
  Credit scorecard modeling, binning, fitting a model, obtaining points and scores, model validation, probability of default, create compact scorecard
  
• Credit Default Swaps
  Bootstrap CDS probability curve, price, and determine CDS price and spread
  
• Bootstrap Default Probabilities from Bonds
  Bootstrap default probability curve from bond market prices
  
• Counterparty Credit Risk
  Counterparty credit risk models for exposures for calculating credit value adjustment (CVA)
  

Featured Examples

Forecasting Corporate Default Rates

Build a forecasting model for corporate default rates.

Open Live Script

Credit Rating by Bagging Decision Trees

Build an automated credit rating tool.

First-to-Default Swaps

Price first-to-default (FTD) swaps under the homogeneous loss assumption.