Asset correlation in 3D
Rotate a bivariate normal density, adjust correlation and default thresholds, and see how joint default probabilities change.
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Financial Risk & Analytics Learn interactively.
Explore discrimination, PD calibration, asset correlation and risk-bearing capacity through interactive quantitative models.
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PD calibration and reliability
Compare predicted default probabilities with realised rates across twenty rating grades, including confidence bands, portfolio size and systematic bias.
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Risk-bearing capacity: loss distribution
Compare a profit-and-loss distribution, quantiles, expected results, VaR and CVaR with risk coverage. Adjust confidence and tail severity.
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ROC curves and discrimination
Adjust default and non-default score distributions, sample size and cutoffs. See the ROC curve, AUC and Gini update live.
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ROC model comparison
Compare two scoring models at a chosen acceptance rate. Inspect how many additional defaults are caught and good customers retained.
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