#portfolio #simulation #model #rust

app credit_portfolio_model

Simulation of factor model to calculate loss distribution of a credit portfolio

1 unstable release

Uses new Rust 2024

new 0.1.0 Mar 28, 2025

#988 in Math

MIT license

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