abaquant.credit

Import path: abaquant.credit

Domain: Credit-risk analytics and fundamentals-derived credit proxies.

Package purpose

Public credit-risk interface.

How to use this package

Defines the package facade and supported import surface. Use this package for transition matrices, spread-based valuation, CDS/CDO building blocks, copula simulation, tail risk, and accounting-based credit diagnostics.

Package reference

Public credit-risk interface.

Purpose

The package exposes rating-transition, bond-valuation, portfolio-distribution, copula, CDO, CDS, and risk-measure primitives.

Conventions

Credit-state ordering, recovery assumptions, rate conventions, and loss signs are documented by the relevant callable.

References

[ 1 ] Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”. [ 2 ] Li, D. X. (2000), “On Default Correlation: A Copula Function Approach”. [ 3 ] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk”.

Modules

• abaquant.credit.cdo
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.cds
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.copula
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.data
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.distribution
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.fundamentals
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.risk
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.transitions
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.types
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.credit.valuation
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference