/Estimating_Default_and_Asset_Correlation_with_Python

Estimating default and asset correlation with method of moments and maximum likelihood method

Primary LanguageJupyter Notebook

Estimating_Default_and_Asset_Correlation_with_Python

Estimating default and asset correlation with method of moments and maximum likelihood method

In this Python notebook, we reproduce the numerical results of chapter 6 "Modelling and Estimating Default Correlation with the Asset Value Approach" in Credit Risk Modeling using Excel and VBA, by Gunter Loffler and Peter Posch

https://www.wiley.com/en-gb/Credit+Risk+Modeling+using+Excel+and+VBA%2C+2nd+Edition-p-9780470660928.

Remarkably, the authors carried out the original work in excel! It is so much easier to implement the same algos in python. However, as the algos are numerically involved, we are not surprised to find our implementation also slow.