naenumtou / ifrs9
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 three parameters as well as staging criteria.
☆85Updated last year
Alternatives and similar repositories for ifrs9:
Users that are interested in ifrs9 are comparing it to the libraries listed below
- Credit Risk Modeling to Compute Expected Loss of Loans (logistic regression, linear regression)☆24Updated last year
- Applied Data Science for Credit Risk☆103Updated this week
- Modeled the credit risk associated with consumer loans. Performed exploratory data analysis (EDA), preprocessing of continuous and discre…☆87Updated 4 years ago
- Credit-Risk Modelling Libraries☆115Updated 7 years ago
- Various stress testing/risk modeling techniques in a jupyter notebook, in Python 3.4.☆24Updated 5 years ago
- ☆13Updated 4 years ago
- Forecasted the Expected Credit Loss, over the lifetime of the mortgage. Built Loan-level PD Model using Markov Chain Transition Matrix an…☆10Updated 5 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆42Updated 5 years ago
- ScriptUni Python in Finance Certificate Final Project☆37Updated 2 years ago
- Lifetime Expected Credit Loss calculation under IFRS 9☆12Updated 7 years ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆16Updated 11 months ago
- One factor Vasicek model in Python.☆10Updated last year
- A comprehensive credit risk model and scorecard using data from Lending Club☆137Updated 3 years ago
- Credit Risk Modelling | Calculation of PD, LGD, EDA and EL with Machine Learning in Python☆18Updated last year
- Code from "Introduction to Python for Econometrics, Statistics and Data Analysis" by Kevin Sheppard☆75Updated 3 years ago
- Building an PD, LGD and EAD Model for Financial Modeling.☆13Updated last year
- Portfolio Construction and Risk Management book's Python code.☆77Updated 3 weeks ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Credit Risk Model on Machine learning and prediction☆29Updated 4 years ago
- Quant Research☆69Updated last month
- Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )☆30Updated last year
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.☆132Updated last year
- Python code examples to support the Python for Actuaries webinars sponsored by ACTEX Learning☆55Updated 4 years ago
- Application to finance☆20Updated 5 months ago
- The repository of "Python for Finance Cookbook" 2nd edition☆195Updated 2 years ago
- Credit Risk analysis by using Python and ML☆154Updated 7 years ago
- Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.☆10Updated 2 years ago
- Advanced Portfolio Construction and Analysis with Python - Coursera☆20Updated 4 years ago
- ☆46Updated last year