# Corporate Credit Risk

Simulate default credit risk, given a portfolio of assets, to determine how much might be lost
in a given time period due to credit defaults using the
`creditDefaultCopula`

object. Simulate credit portfolio
value changes due to credit rating migrations of companies over some time
period using the `creditMigrationCopula`

object. Analyze
the probability of a firm’s default using the Merton model and investigate
the concentration risk of your assets using concentration indices.
Additional tools to estimate default probabilities and transition
probabilities are in Financial Toolbox™ and additional classification models are in Statistics and Machine Learning Toolbox™.

## Categories

- Simulate Default Credit Risk

Simulate default credit risk for a portfolio of credit instruments using copulas

- Simulate Credit Rating Migration Risk

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

- Asymptotic Single Risk Factor Model Capital

Compute necessary capital using an asymptotic single risk factor (ASRF) model

- Default Probability Using Merton Model

Estimates the probability of default of a firm using the Merton option pricing formula

- Concentration Indices

Compute concentration measures for credit portfolios

- Credit Default Swaps

Bootstrap CDS probability curve, and determine CDS price and spread using Financial Toolbox

- Bootstrap Default Probabilities from Bonds

Bootstrap default probability curve from bond market prices using Financial Toolbox

- Estimate Transition Probabilities

Estimate change in credit quality, model transition probabilities from credit rating data using Financial Toolbox

- Determine Credit Quality Thresholds

Convert transition probabilities to credit quality thresholds and the opposite way using Financial Toolbox