fintech-algorithms
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Probability of Default

7 algorithms in Credit Risk and Default · 7 with asserted arithmetic.

In this family#

  1. Logistic PD Model verified

    logisticPdModel(intercept, coefficients, features, alert_threshold)
  2. Probit PD Model verified

    probitPdModel(intercept, coefficients, features, alert_threshold)
  3. Through-the-Cycle PD verified

    throughTheCyclePd(annual_obligors, annual_defaults, current_year_index, minimum_years)
  4. Point-in-Time PD verified

    pointInTimePd(through_the_cycle_pd_value, borrower_log_odds_shift, macro_factor_z, macro_sensitivity, alert_threshold)
  5. Merton Distance-to-Default verified

    mertonDistanceToDefault(equity_value, equity_volatility, debt_face_value, risk_free_rate, asset_drift, horizon_years, tolerance, max_iterations)
  6. Campbell-Hilscher-Szilagyi Distress Probability verified

    campbellHilscherSzilagyiDistressProbability(nimtaavg, tlmta, exretavg, sigma, rsize, cashmta, market_to_book, log_price)
  7. Bharath-Shumway Naive Distance-to-Default verified

    bharathShumwayNaiveDistanceToDefault(equity_value, debt_face_value, equity_volatility, prior_year_equity_return, horizon_years)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

ts
import { logisticPdModel } from "fintech-algorithms/credit-risk-and-default/probability-of-default/logistic-pd-model";
import { probitPdModel } from "fintech-algorithms/credit-risk-and-default/probability-of-default/probit-pd-model";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Credit Risk and Default collects 7 algorithms across 1 family. For the concept behind this family rather than the call signatures, see the concept guides.