Banking - Asset Management Business
Overview
Asset Modeling Frameworks
- Loan Default
In order to determine the optimal loan price as in the above example, it is usually necessary to model the probability that a loan will default.
The loan default example goes through an example of modeling loan default using logistic regression.
- Loan pricing
can be a complex topic. Typically, loans should be priced so that after accounting for probable loss from default, the cost of funding,
and operating expenses for orgination and maintenance of the loan, that the loan produces a return sufficient to cover the cost of equity for the loan
given the amount of capital allocated to that loan. The davinci library contains libraries for calulating the loan price given management targets
for return.
