Risk Management Toolbox
Risk Management Toolbox™ supports mathematical modeling and simulation of credit, market, insurance, and climate risk. You can model lifetime probabilities of default (PD), exposure at default (EAD), and loss given default (LGD) and calculate expected credit losses (ECL). You can assess corporate and consumer credit risk, create credit scorecards, estimate PD, and perform credit portfolio analysis.
The toolbox lets you screen important scorecard variables and automatically or manually bin variables using the Binning Explorer app. You can assess market risk with value-at-risk (VaR) and expected shortfall (ES) models. The toolbox provides a comprehensive suite of model validation metrics for credit models and VaR and ES backtests. It also includes mortality and unpaid claims models to quantify and analyze insurance risk. You can visualize and analyze climate scenario data to assess physical or transition climate risk.
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Learn the basics of Risk Management Toolbox
Consumer Credit Risk
Risk of loss due to default on consumer credit products
Corporate Credit Risk
Risk of loss due to default on corporate credit products and migration of corporate credit ratings
Market Risk
Risk of loss arising from movements in market prices
Insurance Risk
Risk of loss arising from mortality and unpaid claims
Lifetime Models for Probability of Default
Estimate loss reserves based on lifetime analysis
Loss Given Default Models
Estimate loss given default
Exposure at Default Models
Estimate exposure at default
Climate Risk
Analyze climate-related risk for financial assets
Risk Model Validation
Validate risk models with discrimination and calibration metrics
Model Risk Management with Modelscape
Manage financial models throughout a lifecycle across multiple domains and programming languages