openrisk/creditnet repository overview

⁠creditNet

A framework for analysing the performance of credit networks

⁠Intro

creditNet is a C++ powered framework for the simulation and analysis of credit networks.

You can use creditNet to

• Model a universe of linked credits in diverse configurations
• Supports both classic credit portfolio analysis and peer2peer models
• Flexible multi-period framework with customizable temporal granularity (e.g. monthly / quarterly / annual)
• Multiple analytic approaches and support for both scenario based stress testing and simulation
• Specify detailed liability structures of lenders and/or securitisation vehicles
• Calculate expected credit losses as averages over scenarios (suitable for IFRS 9 / CECL analysis)
• Calculate risk capital requirements (suitable for ICAAP analysis)

⁠Key Information

• Author: Open Risk⁠
• License: Apache 2.0
• Code Documentation: Coming
• Mathematical Documentation: Open Risk Manual⁠
• Development website: Github⁠

NB: creditNet is still in early alpha is actively developed. Presently the framework is released as a Docker container