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Project Information

  • Category: Software
  • Client: PhD Student
  • Project Date: 19 Oct, 2024 - 13 May, 2025
  • Project Source Code URL: View on Github

Credit Portfolio VaR Simulation Using Monte Carlo in R

Developed a Monte Carlo credit-loss engine in R using PD/LGD/EAD inputs, simulated portfolio loss distributions, and estimated VaR (e.g., 95% / 99%) to quantify tail risk and support credit risk decision-making.