hello there,I'm trying to implement a credit risk modell in Matlab. The model is really close to the 'CreditMetrics' method. Now my question; does somebody know, if there are any books or papers that did that already in Matlab?ThanksRado

am not sure but can you tell me the model

So the model calculates the 'value distribution'of say a bond portfolio in 4 general steps:-fist, we define the transition matrix for our rating categories. (Same rating classes as S&P)-then simulate for each portfolio class the state at the end of the risk horizon (e.g. 1 year)-then revalue the portfolio and repeat step 1-3 a few times (1000 Simulations for the beginning)-at the end you have a 'value distribution' of your portfolio and from this data/distribution you can calculate the std. deviation and the percentile level (1%).This is the model, not that detailed as CreditMetrics, but a beginning. I'm wondering if someone wrote a similar model in Matlab, because I would like to test the model and not programming long houers in Matlab. So if you have any suggestions...Thx

Hi Rado,I am building a credit risk model with matlab as well. Did you find a paper regarding your model?

I just found Michael B. Gordy's webpage on which he has the Matlab code for implementing the credit risk model CreditRisk+. I haven't checked it out yet but will work with it this weekend.http://mgordy.tripod.com/

We have implemented CreditRisk+ in Matlab 7.0 using GUI. It is working well.We will implement saddle point approximation (as in M.Gordy's page).

Hi,I have seen your messages at www.wilmott.com forum.I am interested in establishing a credit risk model for an emerging market country, TURKEY. It is very hard to find data regarding PD, LGD calculations. Since I am a very new person in this job I do not know what typeof model to implement here. AS of now, I am working on MATLAB and Credit Risk. I wanted to ask you how I can establish one here. Right now I am studying Creditmetrics Technical Document. Do you have any MATLAB implementation including credit risk models and some basic documents to learn more about how to establish a model for credit risk assessment and management? I am sorry about taking your time but I thought that you would be interested in such a work when I saw your message. Thank you very much for your kindness to consider my email.Iskender KARAGUL

Why not try Mathematica? I find it pretty popular in many papers. I'm doing models with it now.

Dear Question,Can you please share the M file with me. I have tried Gordy's M files but i keep getting errors. Thanks,

Dear Question,Can you please share the M file with me. I have tried Gordy's M files but i keep getting errors.Thanks,