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Basel 2 Advanced Internal Rating-Based (AIRB) Credit Risk Modeling Using MATLAB

Bart Hamers, Dexia

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Basel 2 Advanced Internal Rating-Based (AIRB) Credit Risk Modeling Using MATLAB

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.