structural-credit-model

Here are 2 public repositories matching this topic...

JackyJiang08 / market-based-credit-rating

KMV/Merton structural credit ratings with quantified uncertainty — 150-name universe, bootstrap-validated, benchmarked against agency ratings. Live terminal + Python pipeline.

python github-pages typescript nextjs pandas quantitative-finance uncertainty-quantification kmv credit-risk fastapi yfinance probability-of-default credit-rating merton-model structural-credit-model

Updated Jul 30, 2026
Python

apiwit1604 / credit-risk-models

Star

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

Updated Aug 5, 2026
Python

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