fintech-algorithms
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Credit Risk and Default

7 algorithms · 1 family · D21

Reading this with a program? credit-risk-and-default/llms.txt lists all 7 algorithms here — signature, shape and verification tier, one line each. Every reference page below also exists as markdown at <page URL>index.md.

Probability of Default#

  • Logistic PD Model verified logisticPdModel(intercept, coefficients, features, alert_threshold)
  • Probit PD Model verified probitPdModel(intercept, coefficients, features, alert_threshold)
  • Through-the-Cycle PD verified throughTheCyclePd(annual_obligors, annual_defaults, current_year_index, minimum_years)
  • Point-in-Time PD verified pointInTimePd(through_the_cycle_pd_value, borrower_log_odds_shift, macro_factor_z, macro_sensitivity, alert_threshold)
  • Merton Distance-to-Default verified mertonDistanceToDefault(equity_value, equity_volatility, debt_face_value, risk_free_rate, asset_drift, horizon_years, tolerance, max_iterations)
  • Campbell-Hilscher-Szilagyi Distress Probability verified campbellHilscherSzilagyiDistressProbability(nimtaavg, tlmta, exretavg, sigma, rsize, cashmta, market_to_book, log_price)
  • Bharath-Shumway Naive Distance-to-Default verified bharathShumwayNaiveDistanceToDefault(equity_value, debt_face_value, equity_volatility, prior_year_equity_return, horizon_years)