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Jane511 / mortgage-credit-risk-pd-lgd-ead

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IFRS 9 / AASB 9 mortgage credit-risk suite on Freddie Mac loan-level data — PD (logistic, AUC 0.81), real LGD from actual loss data (reconciled to the vendor loss field at 0.99), EAD, expected credit loss, stress testing (~10× downturn), a scorecard master scale, and out-of-time / out-of-regime validation.

stress-testing logistic-regression scorecard model-validation credit-risk mortgages freddie-mac risk-modeling ifrs9 aasb9 pd-lgd-ead
  • Updated Jun 22, 2026
  • Jupyter Notebook

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