Adverse selection
Explore how a uniform lending rate can drive lower-risk borrowers out of a credit market.
Credit riskTry itVisuApps
Credit risk Learn interactively.
Counterparty, spread and credit-portfolio risk — interactive: loss distributions, migration, pricing, risk-bearing capacity.
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Default correlation surface in 3D
Explore how default correlation depends on probability of default and asset correlation using a 3D surface.
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CreditPortfolioView: macro factors
Explore how macroeconomic factors drive default rates over the business cycle in CreditPortfolioView.
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CreditRisk+: Poisson modelling
Move from Bernoulli defaults to a Poisson approximation of default counts and an analytical credit loss distribution.
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Exposure profile
Explore expected and potential future exposure over time, alongside expected loss.
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Integrated risk measurement
Combine migration risk and spread risk in a single measurement of portfolio losses.
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Rating migration explorer
Explore a rating migration matrix, transition probabilities between rating grades and migration over multiple years.
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PD master scale
Explore rating grades, their probability-of-default bands and the calibration of a master scale.
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Risk-bearing capacity cockpit
Compare available risk coverage with aggregated risks and monitor capacity utilisation.
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Merton’s threshold model
Explore default when firm value falls below a debt threshold and investigate the role of asset correlation.
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Credit spread explorer
Decompose credit spreads into default, liquidity and risk premiums across maturities.
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Credit loss distribution: Monte Carlo
Simulate a credit portfolio’s loss distribution and explore expected loss, VaR, CVaR and the effect of default correlation on the tail.
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