CreditRiskEngine¶
Production-grade open-source credit risk analytics.
CreditRiskEngine provides a complete, auditable implementation of Basel III/IV capital calculations, IFRS 9/CECL expected credit loss engines, and model validation toolkits — covering the full credit risk lifecycle from PD estimation through regulatory reporting.
Key Features¶
| Domain | Capabilities |
|---|---|
| RWA Calculation | SA (CRE20), F-IRB, A-IRB (CRE31-32), output floor (RBC25), CRM (CRE22) |
| ECL Engines | IFRS 9 (staging, SICR, lifetime PD), CECL (ASC 326), Ind AS 109 |
| PD/LGD/EAD | Scorecard, calibration, master scale, workout/downturn LGD, CCF |
| Model Validation | AUROC, Gini, KS, PSI, binomial test, Hosmer-Lemeshow, traffic light |
| Portfolio Risk | Vasicek ASRF, copula Monte Carlo, Credit VaR, stress testing |
| Operational Risk | Basel III SMA (OPE25) |
| Market Risk | FRTB integration point (MAR) |
| Jurisdictions | 17 supported: BCBS, EU, UK, US, India, Singapore, + 11 more |
Quick Start¶
from creditriskengine.rwa.irb.formulas import irb_risk_weight
# Corporate: PD=1%, LGD=45%, maturity=2.5y
rw = irb_risk_weight(pd=0.01, lgd=0.45, asset_class="corporate", maturity=2.5)
print(f"Risk Weight: {rw:.2f}%") # ~75%
See Getting Started for installation and detailed examples.
Regulatory Disclaimer
This library is provided for educational and analytical purposes. See Regulatory Disclaimers before use in production capital calculations.