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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.


creditMigrationCopulaSimulate and analyze multifactor credit migration rating model


simulateSimulate credit migrations using creditMigrationCopula object
portfolioRiskGenerate portfolio-level risk measurements
riskContributionGenerate risk contributions for each counterparty in portfolio
confidenceBandsConfidence interval bands
getScenariosCounterparty scenarios