PortfolioAnalytics Library
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
Examples
Check the jupyter notebook
Current Functions
- 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)
Risk Manual
Use the manual for documentation of use cases
Contributions
Contributions are welcome. Check the TODO list for ideas of where to take this library next
Portfolio Analytics Library (PAT)
Set of semi-analytical functions for testing the accuracy of credit portfolio simulation models
Contributions
Screenshot
