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updated 3 years ago

Credit Risk Modeling with MATLAB by Ameya Deoras

Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (credit risk, transition matrices, var)

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Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

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updated almost 5 years ago

Fitting Survival Probability Models by Gabo

Gabo

Companion code for "Fitting Survival Probability Models" article. (credit default swaps, cds, wilmott)

genHazFun(t,b)

protectLeg(Term,Settle,PL_Date,Basis,LIBOR,Recovery,probf...

rpv01(Term,Settle,RPV_Dates,Basis,LIBOR,probfun,b)

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