Demonstrates techniques to calibrate a one-factor model for estimating portfolio credit losses using the creditDefaultCopula or creditMigrationCopula classes.

Calculate capital requirements and value-at-risk (VaR) for a credit sensitive portfolio of exposures using the asymptotic single risk factor (ASRF) model.

Build an automated credit rating tool.

Create, train, and compare three deep learning networks for predicting credit default probability.

The effect of transition risk on portfolios of loans from two banks given three different climate scenarios. Potentially, climate change is a large structural change affecting the economy and the financial system. Clear physical risks are associated with climate change, including increases in the global average temperature and an increased frequency and severity of extreme weather events. These events could result in significant macroeconomic and financial system impacts. In addition to physical risk, another type of risk called transition risk arises from changes in policy and new technologies, such as the growth of renewable energy.