Azure DevOps Demo Models · main

credit_stress.R

banking/credit-portfolio-stress/src/credit_stress.R · 547 bytes · read-only public source view

args <- commandArgs(trailingOnly = TRUE)
exposure <- 2500000000
pd <- 0.018
lgd <- 0.42
multiplier <- 1.75
rows <- data.frame(year=integer(), exposure=numeric(), probability_default=numeric(), expected_loss=numeric())
for (year in 1:5) {
  year_pd <- pd * (1 + 0.05 * (year - 1))
  expected_loss <- exposure * year_pd * lgd * multiplier
  rows <- rbind(rows, data.frame(year=year, exposure=exposure, probability_default=year_pd, expected_loss=expected_loss))
  exposure <- exposure * 0.96
}
write.csv(rows, 'expected_losses.csv', row.names=FALSE)