djbolder / credit-risk-modellingView external linksLinks
Credit-Risk Modelling Libraries
☆131Feb 5, 2018Updated 8 years ago
Alternatives and similar repositories for credit-risk-modelling
Users that are interested in credit-risk-modelling are comparing it to the libraries listed below
Sorting:
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- A comprehensive credit risk model and scorecard using data from Lending Club☆149Apr 3, 2021Updated 4 years ago
- Credit Risk analysis by using Python and ML☆173Nov 20, 2017Updated 8 years ago
- credit risk score card develop by python(version 3.6)☆40Dec 12, 2017Updated 8 years ago
- Affine Term-Structure Models: Theory and Implementation☆14Apr 6, 2020Updated 5 years ago
- Credit Risk Model on Machine learning and prediction☆31Jul 16, 2020Updated 5 years ago
- openLGD is a Python powered library for the statistical estimation of Credit Risk Loss Given Default models. It can be used both as stan…☆25Oct 14, 2024Updated last year
- Building an PD, LGD and EAD Model for Financial Modeling.☆15Dec 19, 2023Updated 2 years ago
- The full scope of IFRS 9 Impairment models including PD, LGD and EAD are provided. It also covers ECL, which is the combination of those …☆106Nov 8, 2025Updated 3 months ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Credit Risk Modeling to Compute Expected Loss of Loans (logistic regression, linear regression)☆29Feb 26, 2024Updated last year
- Statistical analysis and visualization of state transition phenomena☆86Dec 17, 2024Updated last year
- credit-risk-modeling☆32May 29, 2021Updated 4 years ago
- A Python library for generating analytic tests for credit portfolio loss distributions☆33Dec 17, 2024Updated last year
- ☆16Nov 16, 2016Updated 9 years ago
- ☆20Feb 21, 2021Updated 4 years ago
- Code used to implement various stochastic intensity models for univariate and multivariate credit risk models.☆21Nov 10, 2013Updated 12 years ago
- Modeled the credit risk associated with consumer loans. Performed exploratory data analysis (EDA), preprocessing of continuous and discre…☆96Mar 31, 2020Updated 5 years ago
- Solving and Simulating Several Heterogeneous Agents Borrowing and Savings Models☆23Sep 25, 2019Updated 6 years ago
- midasml package is dedicated to run predictive high-dimensional mixed data sampling models☆44Sep 26, 2023Updated 2 years ago
- Using policy shocks to construct systematic policy rule counterfactuals☆16Apr 24, 2023Updated 2 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- Example for Interest Rate Modelling Lecture☆14Mar 29, 2025Updated 10 months ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Aug 17, 2025Updated 6 months ago
- Elements of Financial Risk Management in Python☆12Jan 10, 2021Updated 5 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- ☆14Mar 1, 2024Updated last year
- ☆13Nov 4, 2020Updated 5 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17May 29, 2022Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆127Oct 11, 2025Updated 4 months ago
- Mathematics for Economists (Matlab Live Codes)☆56Feb 24, 2021Updated 4 years ago
- Translated notes from Matlab to Python for Dave Backus's Macrofoundations class.☆15Oct 11, 2017Updated 8 years ago
- Matlab code for"Functional Approximation of Impulse Responses" with Regis Barnichon, Journal of Monetary Economics, forthcoming☆13Dec 21, 2021Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- scikit-learn compatible tools for building credit risk acceptance models☆108Feb 9, 2025Updated last year
- Jupyter notebooks illustrating solutions to computational macroeconomic problems☆16Jul 15, 2021Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- A set of MATLAB and OCTAVE programs for the statistical analysis of linear time series using mainly state space methods☆13Oct 19, 2025Updated 3 months ago
- This repo houses the data and project: Ecuador Retail Store Sales.☆14Sep 3, 2024Updated last year