credit-risk

What problem does it solve?

This Skill addresses the critical need to measure, manage, and control credit loss risk across various levels of an organization, from individual obligors to entire portfolios.

Core Features & Use Cases

• Risk Estimation: Calibrates Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models.
• Portfolio Aggregation: Aggregates expected and stressed losses at portfolio and desk levels.
• Validation & Control: Implements rigorous validation checks and risk controls for stable and explainable risk metrics.
• Use Case: When tasks involve expected-loss modeling, tail-loss stress testing, obligor-level risk scoring, or production credit limit controls, this Skill provides the necessary framework.

Quick Start

Run the credit risk validation script with the input file 'input.csv' and save the output to 'validation.json'.