1 unstable release
Uses new Rust 2024
new 0.1.0 | Mar 28, 2025 |
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#988 in Math
23KB
369 lines
Credit Portfolio Model Implementation in rust.
This crate creates a binary, that can be used with csv-input and outputs the loss distribution quantiles.
The underlying model is a Gaussian copula model allowing multiple (correlated) normal variables and idiosyncratic random variables. One idiosyncratic variable is shared within a risk group and one is individual to the borrower.
Dependencies
~73MB
~1M SLoC