IRB Model Validation - Technical Aspects of Automated Reports

#rstat #python #irb

github.com/andrija-djur...

𝐓𝐡𝐞 𝐄𝐜𝐨𝐧𝐨𝐦𝐢𝐜 𝐕𝐚𝐥𝐮𝐞 𝐨𝐟 𝐂𝐫𝐞𝐝𝐢𝐭 𝐑𝐚𝐭𝐢𝐧𝐠 𝐒𝐲𝐬𝐭𝐞𝐦𝐬 - 𝐐𝐮𝐚𝐧𝐭𝐢𝐟𝐲𝐢𝐧𝐠 𝐭𝐡𝐞 𝐁𝐞𝐧𝐞𝐟𝐢𝐭𝐬 𝐨𝐟 𝐈𝐦𝐩𝐫𝐨𝐯𝐢𝐧𝐠 𝐚𝐧 𝐈𝐧𝐭𝐞𝐫𝐧𝐚𝐥 𝐂𝐫𝐞𝐝𝐢𝐭 𝐑𝐚𝐭𝐢𝐧𝐠 𝐒𝐲𝐬𝐭𝐞𝐦

github.com/andrija-djur...

The Vasicek Distribution (Probability of Default Models) - The Functional Form and Parameters Estimation Methods

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Consequences of Autocorrelation for OLS Regression (R & Python code)

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Consequences of Multicollinearity for OLS Regression (R & Python code)

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Consequences of Heteroscedasticity for OLS Regression

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Consequences of Violating the Normality Assumption for OLS Regression

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Likelihood Approaches to Low Default Portfolios - Adjustment of Alan Forrest's Method to the Multi-Year Period Design

My preferred approach for LDP and my adaptation of Forrest’s method.

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Low Default Portfolios - Conservative Estimation of Default Probabilities

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#rstats #paython

Effective interest rate using R and Python

andrija-djurovic.github.io/adsfcr/effec...

#rstats #python

Loan repayment plan using R and Python

andrija-djurovic.github.io/adsfcr/loan_...

#rstats #python

𝗥𝗶𝘀𝗸-𝗪𝗲𝗶𝗴𝗵𝘁𝗲𝗱 𝗔𝘀𝘀𝗲𝘁𝘀 𝗮𝘀 𝗮 𝗙𝘂𝗻𝗰𝘁𝗶𝗼𝗻 𝗼𝗳 𝗣𝗿𝗼𝗯𝗮𝗯𝗶𝗹𝗶𝘁𝘆 𝗼𝗳 𝗗𝗲𝗳𝗮𝘂𝗹𝘁

Beyond the standard use of RWA formulas for determining minimum capital requirements, RWA can support model validation by highlighting the impact of potential shortfall of a specific model aspect.

github.com/andrija-djur...

#creditrisk

𝗜𝗥𝗕 𝗣𝗗 𝗣𝗲𝗿𝗶𝗼𝗱𝗶𝗰 𝗠𝗼𝗱𝗲𝗹 𝗩𝗮𝗹𝗶𝗱𝗮𝘁𝗶𝗼𝗻 - 𝗤𝘂𝗮𝗻𝘁𝗶𝘁𝗮𝘁𝗶𝘃𝗲 𝗧𝗲𝘀𝘁𝗶𝗻𝗴

Check out my presentation for an overview of the most common quantitative procedures used in periodic PD model validation.

github.com/andrija-djur...