Global Credit Data – North American Conference 2019

Presentation topic:

A modelling framework for Expected Credit Loss calculation and Stress Testing for low-default portfolios

PDF presentation: gcd 2019 presenation

R code: gcd_R_code_2019.zip

The file “gcd_R_code_2019.zip” contains:

  • the R script for replicating the examples run during the presentation (gcd2019_publ.R)
  • the RAdamant source package: needed to produce the nice plots, the Z regression model and the VAR stress (RAdamant_0.8.4.3.tar.gz)
  • an R script containing the body of the main functions used in the code (source_functions.R)
  • an R file containing the data needed for running the example (input_data.RData)

The R code as well the models therein contained are part of an ongoing research. If you have any suggestions or enhancements to the current model don’t hesitate to get back to me so I can amend the code/model and let everyone benefits of the work.