Basel 2 Advanced Internal Rating-Based Credit Risk Modeling Using MATLAB
Bart Hamers, Dexia
In this presentation, we explain why and how Dexia uses MATLAB®in day-to-day modeling and data manipulation tasks. The focus is on the use of MATLAB for modeling of probability of default (PD), loss given default (LGD), and earnings at default (EaD), and how Dexia uses MATLAB for automating yearly model backtesting and Pillar 1 stress testing.
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