Efficient simulation in the CreditMetrics model with Julia
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Apr 16, 2022 - Julia
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creditmetrics-model
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Portfolio credit risk modeling project evolving from independent to multi-factor migration, with regime stress and tail diagnostics. Part of a broader transition toward quantitative finance and systematic risk modeling.
python monte-carlo stress-testing financial-engineering credit-risk risk-modeling quant-finance creditmetrics-model portfolio-risk creditmetrics
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Apr 27, 2026 - Python
Portfolio Credit VaR across 3 methodologies — CreditMetrics (rating migration), KMV/Merton (structural default), and Basel IRB (regulatory formula) — with a side-by-side comparison notebook.
python monte-carlo-simulation quantitative-finance risk-management credit-risk creditmetrics-model basel-iii merton-model structural-credit-model
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Aug 11, 2026 - Python
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