A python library that provides semi-analytical functions useful for testing the accuracy of credit portfolio simulation models
The basic formulas are reasonably simple and well known: They underpin the calculation of RWA (risk weighted assets), and in turn required capital, thus ensuring stability for the entire banking systems worldwide
The library provides support for the Monte Carlo testing framework
Dependencies: scipy, sympy
Check the jupyter notebooks
- vasicek_base
- vasicek_base_el
- vasicek_base_ul
- vasicek_lim
- vasicek_lim_el
- vasicek_lim_ul
- vasicek_lim_q
The Vasicek Base family produces finite pool loss probabilities and measures (EL, UL)
The Vasicek Lim family produces asymptotic pool loss probabilities and measures (EL, UL, Quantile)
Use the manual for documentation of use cases
Contributions are welcome. Check the TODO list for ideas of where to take this library next