model_financial_stability module

Created on Sun Feb 21 16:59:39 2021

@author: bruger

model_financial_stability.lifetime_credit_loss(maturity, discount_rate, lgd, PDefault, debug=False)[source]
Parameters:

  • maturity (integer or float) – maturity over which the exposure is amortised - by equal instalments.

  • discount_rate (float) – discount rate

  • lgd (array of float) – list of loss given default

  • PDefault (array of float) – propability of defaults

  • debug (bool, optional) – calculate a intermidiately dataframes . The default is False.

Return type:

float the long term credit loss in percent