Simulate Credit Rating Migration Risk

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

The creditMigrationCopula object 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 Credit Rating Migration Risk.

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

Topics

creditMigrationCopula Simulation Workflow
This example shows a common workflow for using a creditMigrationCopula object to measure credit migration risk for a credit portfolio.
Credit Rating Migration Risk
The migration-based multi-factor copula (creditMigrationCopula) is similar to the creditDefaultCopula object.