Credit Risk - Time Series

Overview


A simple way to estimate credit loss is to aggregate credit losses to a set of periods (such as yearly) and then to apply the tools of time series analysis.

Sample loss data as a time series. The loss is stated as a rate, which when multiplied by the total portfolio value gives the loss for the period.

Basic Statistics


in general, loss data will be stationary so that one can simply apply a set of statistics.

  • Average (Mean)
  • Standard Devation


moments library 

let mt = await import('/lib/statistics/moments/v1.0.0/moments.mjs');

let average = mt.average(data.map(p=>p.rate));
let stdDev = Math.sqrt(mt.variance(data.map(p=>p.rate)));

Contents