model_ifrs9 module

Created on Sun Feb 21 16:59:39 2021

@author: Ib

Function to calculate expected credit loss using ifrs9 rules, experimental

model_ifrs9.lt_ifrs9(maturity, discount_rate, _lgd, _pd, 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

  • _pd (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