financialkit.credit

Altman’s Z-score, Merton, Black-Cox and Leland structural models and the KMV distance to default, hazard curves and recovery conventions, CDS pricing and bootstrapping, CreditMetrics and generator matrices, Vasicek’s large pool, CreditRisk+, Li’s copula, the Basel IRB formula and CDO tranches.

History

The foundational breakthroughs behind this subpackage, linked to the implementation.

Breakthroughs in Credit Risk

Examples

Runnable tutorials and the full example gallery.

Examples

API reference

Every public class and function.

financialkit.credit