riadh-mnasri/kotlin-counterparty-risk

Model netting set composition changes over time in the exposure simulation 14 days ago

help wanted

0

Counterparty credit risk exposure, expected loss and CVA for Kotlin/JVM (teaching/prototyping tool)

Kotlin

#counterparty-risk#cva#finance#jvm#kotlin

Model collateral thresholds and re-margining in the Monte Carlo exposure simulation 16 days ago

help wanted

riadh-mnasri/kotlin-counterparty-risk

0

Counterparty credit risk exposure, expected loss and CVA for Kotlin/JVM (teaching/prototyping tool)

Kotlin

#counterparty-risk#cva#finance#jvm#kotlin

Support an explicit multi-tenor credit curve as an alternative to CreditCurve's flat hazard rate 16 days ago

help wanted

riadh-mnasri/kotlin-counterparty-risk

0

Counterparty credit risk exposure, expected loss and CVA for Kotlin/JVM (teaching/prototyping tool)

Kotlin

#counterparty-risk#cva#finance#jvm#kotlin

Vary the FX haircut by currency pair instead of a single flat 8% 16 days ago

good first issue

riadh-mnasri/kotlin-counterparty-risk

0

Counterparty credit risk exposure, expected loss and CVA for Kotlin/JVM (teaching/prototyping tool)

Kotlin

#counterparty-risk#cva#finance#jvm#kotlin

Add simulated exposure over time (PFE/EPE via Monte Carlo) 2 months ago

help wanted

riadh-mnasri/kotlin-counterparty-risk

0

Counterparty credit risk exposure, expected loss and CVA for Kotlin/JVM (teaching/prototyping tool)

Kotlin

#counterparty-risk#cva#finance#jvm#kotlin

Support multi-period CVA with a credit curve 2 months ago

help wanted

riadh-mnasri/kotlin-counterparty-risk

0

Counterparty credit risk exposure, expected loss and CVA for Kotlin/JVM (teaching/prototyping tool)

Kotlin

#counterparty-risk#cva#finance#jvm#kotlin

Model LGD per collateral/asset type instead of a flat rate 2 months ago

good first issue

riadh-mnasri/kotlin-counterparty-risk

0

Counterparty credit risk exposure, expected loss and CVA for Kotlin/JVM (teaching/prototyping tool)

Kotlin

#counterparty-risk#cva#finance#jvm#kotlin

Replace the app-defined PD table with a real rating agency table 2 months ago

good first issue

riadh-mnasri/kotlin-counterparty-risk

0

Counterparty credit risk exposure, expected loss and CVA for Kotlin/JVM (teaching/prototyping tool)

Kotlin

#counterparty-risk#cva#finance#jvm#kotlin

riadh-mnasri/kotlin-counterparty-risk

Open Issues Need Help