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توضیحات

A Python powered library for calculating semi-analytic credit portfolio loss metrics

ویژگی	مقدار
سیستم عامل	-
نام فایل	creditPortfolioAnalytics-0.4
نام	creditPortfolioAnalytics
نسخه کتابخانه	0.4
نگهدارنده	[]
ایمیل نگهدارنده	[]
نویسنده	Open Risk
ایمیل نویسنده	info@openrisk.eu
آدرس صفحه اصلی	https://github.com/open-risk/portfolioAnalytics
آدرس اینترنتی	https://pypi.org/project/creditPortfolioAnalytics/
مجوز	-

portfolioAnalytics ========================= portfolioAnalytics is a Python powered library for the calculation of semi-analytic approximations to portfolio credit models * Author: `Open Risk <http://www.openriskmanagement.com>`_ * License: Apache 2.0 * Code Documentation: `Read The Docs <https://portfolioAnalytics.readthedocs.io/en/latest/>`_ * Mathematical Documentation: `Open Risk Manual <https://www.openriskmanual.org/wiki/Transition_Matrix>`_ * Training: `Open Risk Academy <https://www.openriskacademy.com/login/index.php>`_ * Development Website: `Github <https://github.com/open-risk/portfolioAnalytics>`_ Functionality ------------- You can use portfolioAnalytics to create semi-analytic loss distributions for a variety of stylized credit portfolios. The library provides semi-analytical functions useful for testing the accuracy of credit portfolio simulation models. The basic formulas are reasonably simple and well known: They underpin the calculation of RWA (risk weighted assets), and in turn required capital, thus ensuring stability for the entire banking systems worldwide. You can also use the library to estimate transition thresholds for stochastic processes **NB: portfolioAnalytics is still in active development. If you encounter issues please raise them in our github repository** Vasicek Portfolio Models Library ---------------------------------------------- Dependencies: scipy, sympy Portfolio Model Examples ------------------------- Check the jupyter notebooks and python scripts Current Functions ----------------- * vasicek_base * vasicek_base_el * vasicek_base_ul * vasicek_lim * vasicek_lim_el * vasicek_lim_ul * vasicek_lim_q The Vasicek Base family produces finite pool loss probabilities and measures (EL, UL) The Vasicek Lim family produces asymptotic pool loss probabities and measures (EL, UL, Quantile) Limitations ------------- The portfolioAnalytics library provides a range of powerful modelling functionalities that are are of relevance in real credit portfolio management activities. Yet achieving the tractability and usability of a semi-analytic calculation suite is not without some tradeoffs. Several simplifications are made (extensively documented in the Mathematical Documentation). Those simplifications imply that when using the portfolioAnalytics models to assess the risk in actual portfolios it is important to assess Installation ======================= You can install and use the portfolioAnalytics package in any system that supports the `Scipy ecosystem of tools <https://scipy.org/install.html>`_ Dependencies ----------------- - portfolioAnalytics requires Python 3 - the thresholds module depends on the Open Risk transitionMatrix and correlationMatrix libraries - It depends on numerical and data processing Python libraries (Numpy, Scipy, Pandas) - The Visualization API depends on Matplotlib - The precise dependencies are listed in the requirements.txt file. - portfolioAnalytics may work with earlier versions of these packages but this has not been tested From PyPi ------------- .. code:: bash pip3 install pandas pip3 install matplotlib pip3 install portfolioAnalytics From sources ------------- Download the sources to your preferred directory: .. code:: bash git clone https://github.com/open-risk/portfolioAnalytics Using virtualenv ---------------- It is advisable to install the package in a virtualenv so as not to interfere with your system's python distribution .. code:: bash virtualenv -p python3 tm_test source tm_test/bin/activate If you do not have pandas already installed make sure you install it first (will also install numpy) .. code:: bash pip3 install pandas pip3 install matplotlib pip3 install -r requirements.txt Finally issue the install command and you are ready to go! .. code:: bash python3 setup.py install File structure ----------------- The distribution has the following structure: | portfolioAnalytics The library source code | estimators Estimator methods (TODO) | utils Helper classes and methods | thresholds Algorithms for calibrating AR(n) process thresholds to input transition rates | vasicek Collection of portfolio analytic solutions | creditmetrics Analytic calculation of variance for credit metrics style models | examples Usage examples | datasets Contains a variety of datasets useful for getting started with portfolioAnalytics | tests Testing suite Testing Framework ---------------------- It is a good idea to run the test-suite. Before you get started: - Adjust the source directory path in portfolioAnalytics/__init__ and then issue the following in at the root of the distribution - Unzip the data files in the datasets directory .. code:: bash python3 test.py Getting Started ======================= Check the Examples pages in this documentation Look at the examples directory for a variety of typical workflows. For more in depth study, the Open Risk Academy has courses elaborating on the use of the library - Analysis of `Credit Migration using Python portfolioAnalytics: <https://www.openriskacademy.com/course/view.php?id=38>`_

نیازمندی

مقدار	نام
-	pandas
-	numpy
-	scipy
-	statsmodels
-	sympy
-	matplotlib

نحوه نصب

نصب پکیج whl creditPortfolioAnalytics-0.4:

pip install creditPortfolioAnalytics-0.4.whl

نصب پکیج tar.gz creditPortfolioAnalytics-0.4:

pip install creditPortfolioAnalytics-0.4.tar.gz