rkhuran / CECL-Modelling-Implementation
Forecasted the Expected Credit Loss, over the lifetime of the mortgage. Built Loan-level PD Model using Markov Chain Transition Matrix and logistic regression with six transition states and validated them using backtesting.
☆11Updated 5 years ago
Alternatives and similar repositories for CECL-Modelling-Implementation:
Users that are interested in CECL-Modelling-Implementation are comparing it to the libraries listed below
- 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 …☆86Updated last year
- Credit Risk Modeling to Compute Expected Loss of Loans (logistic regression, linear regression)☆24Updated last year
- Modeled the credit risk associated with consumer loans. Performed exploratory data analysis (EDA), preprocessing of continuous and discre…☆88Updated 5 years ago
- Credit-Risk Modelling Libraries☆116Updated 7 years ago
- Applied Data Science for Credit Risk☆114Updated this week
- ☆13Updated 4 years ago
- Building an PD, LGD and EAD Model for Financial Modeling.☆14Updated last year
- Python code examples to support the Python for Actuaries webinars sponsored by ACTEX Learning☆54Updated 4 years ago
- ScriptUni Python in Finance Certificate Final Project☆37Updated 2 years ago
- A comprehensive credit risk model and scorecard using data from Lending Club☆137Updated 3 years ago
- ☆10Updated 4 years ago
- Various stress testing/risk modeling techniques in a jupyter notebook, in Python 3.4.☆24Updated 5 years ago
- The repository of "Python for Finance Cookbook" 2nd edition☆201Updated 2 years ago
- Lifetime Expected Credit Loss calculation under IFRS 9☆12Updated 7 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆77Updated 7 months ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆42Updated 5 years ago
- Financial Modeling Course with Python and Excel☆24Updated last year
- Actuarial cash flow model☆20Updated 7 years ago
- Code from "Introduction to Python for Econometrics, Statistics and Data Analysis" by Kevin Sheppard☆77Updated 3 years ago
- Credit Risk Model on Machine learning and prediction☆29Updated 4 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆117Updated last year
- Stocks and Assets Valuation via Discounted Cash Flow with Python☆96Updated 3 months ago
- Credit Risk analysis by using Python and ML☆155Updated 7 years ago
- Repository for Python SP 500 blog post☆74Updated 11 months ago
- qrm☆230Updated last year
- credit-risk-modeling☆24Updated 3 years ago
- This course is available on Coursera, and here is my own note about this course. It is taught by University of Pennsylvania.☆10Updated last year
- FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.☆12Updated 3 years ago
- ☆19Updated last year
- Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )☆30Updated last year