BirdiD/Portfolio-Management

In this repository, you will find a credit portfolio modeling with Monte Carlo simulation based method for the computation of credit-portfolio loss-distributions and for the estimation of various risk measures. Four principal risk measures are taken into account : Value At Risk (VaR), Expected Shortfall (ES), Expected Loss (EL) and Unexpected Loss (UL). The notebook also includes credit derivatives which are synthetic contracts to buy or sell protection against credit-related losses. There's also an interactive dashboard allowing you to choose parameters for your credit portfolio modeling

Jupyter Notebook