open-risk / portfolioanalytics Goto Github PK

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 notebook

• 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 probabities 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

Set of semi-analytical functions for testing the accuracy of credit portfolio simulation models