├── .idea ├── .gitignore ├── DeepLearningCreditRiskModeling.iml ├── encodings.xml ├── inspectionProfiles │ └── profiles_settings.xml ├── misc.xml ├── modules.xml └── vcs.xml ├── DNN_website.JPG ├── README.md ├── data ├── calibratedmodels │ └── %s_calib_output.pkl ├── market_data │ └── market_data.xlsx ├── simulations │ ├── 0SV1SJ_sims.plk │ ├── 1SV1SJ_sims.plk │ ├── 2SV0SJ_sims.plk │ ├── 2SV1SJ_sims.plk │ ├── HestonJump_sims.plk │ ├── Heston_sims.plk │ ├── KouJump_sims.plk │ ├── Merton74basic_sims.plk │ ├── Merton76jump_sims.plk │ └── PanSingleton2008_sims.plk └── trainedmodels │ ├── 0SV1SJ_DNNWeights.h5 │ ├── 1SV1SJ_DNNWeights.h5 │ ├── 2SV0SJ_DNNWeights.h5 │ ├── 2SV1SJ_DNNWeights.h5 │ ├── HestonJump_DNNWeights.h5 │ ├── Heston_DNNWeights.h5 │ ├── KouJump_DNNWeights.h5 │ ├── Merton74basic_DNNWeights.h5 │ ├── Merton76jump_DNNWeights.h5 │ └── PanSingleton2008_DNNWeights.h5 ├── dnn_training ├── __init__.py ├── dnn_trainer.py ├── dnn_utils.py └── master_trainer.py ├── efficiencyTable.png ├── environment.py ├── model_calibration ├── __init__.py ├── calib_utils.py ├── master_calibration.py └── uk_dnn_filter.py └── model_simulator ├── __init__.py ├── charafun_pricing.py ├── master_simulator.py └── pricing_models.py /.idea/.gitignore: -------------------------------------------------------------------------------- 1 | # Default ignored files 2 | /shelf/ 3 | /workspace.xml 4 | -------------------------------------------------------------------------------- /.idea/DeepLearningCreditRiskModeling.iml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/.idea/DeepLearningCreditRiskModeling.iml -------------------------------------------------------------------------------- /.idea/encodings.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/.idea/encodings.xml -------------------------------------------------------------------------------- /.idea/inspectionProfiles/profiles_settings.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/.idea/inspectionProfiles/profiles_settings.xml -------------------------------------------------------------------------------- /.idea/misc.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/.idea/misc.xml -------------------------------------------------------------------------------- /.idea/modules.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/.idea/modules.xml -------------------------------------------------------------------------------- /.idea/vcs.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/.idea/vcs.xml -------------------------------------------------------------------------------- /DNN_website.JPG: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/DNN_website.JPG -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/README.md -------------------------------------------------------------------------------- /data/calibratedmodels/%s_calib_output.pkl: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/calibratedmodels/%s_calib_output.pkl -------------------------------------------------------------------------------- /data/market_data/market_data.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/market_data/market_data.xlsx -------------------------------------------------------------------------------- /data/simulations/0SV1SJ_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/0SV1SJ_sims.plk -------------------------------------------------------------------------------- /data/simulations/1SV1SJ_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/1SV1SJ_sims.plk -------------------------------------------------------------------------------- /data/simulations/2SV0SJ_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/2SV0SJ_sims.plk -------------------------------------------------------------------------------- /data/simulations/2SV1SJ_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/2SV1SJ_sims.plk -------------------------------------------------------------------------------- /data/simulations/HestonJump_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/HestonJump_sims.plk -------------------------------------------------------------------------------- /data/simulations/Heston_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/Heston_sims.plk -------------------------------------------------------------------------------- /data/simulations/KouJump_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/KouJump_sims.plk -------------------------------------------------------------------------------- /data/simulations/Merton74basic_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/Merton74basic_sims.plk -------------------------------------------------------------------------------- /data/simulations/Merton76jump_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/Merton76jump_sims.plk -------------------------------------------------------------------------------- /data/simulations/PanSingleton2008_sims.plk: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/simulations/PanSingleton2008_sims.plk -------------------------------------------------------------------------------- /data/trainedmodels/0SV1SJ_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/0SV1SJ_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/1SV1SJ_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/1SV1SJ_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/2SV0SJ_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/2SV0SJ_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/2SV1SJ_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/2SV1SJ_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/HestonJump_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/HestonJump_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/Heston_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/Heston_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/KouJump_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/KouJump_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/Merton74basic_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/Merton74basic_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/Merton76jump_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/Merton76jump_DNNWeights.h5 -------------------------------------------------------------------------------- /data/trainedmodels/PanSingleton2008_DNNWeights.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/data/trainedmodels/PanSingleton2008_DNNWeights.h5 -------------------------------------------------------------------------------- /dnn_training/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /dnn_training/dnn_trainer.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/dnn_training/dnn_trainer.py -------------------------------------------------------------------------------- /dnn_training/dnn_utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/dnn_training/dnn_utils.py -------------------------------------------------------------------------------- /dnn_training/master_trainer.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/dnn_training/master_trainer.py -------------------------------------------------------------------------------- /efficiencyTable.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/efficiencyTable.png -------------------------------------------------------------------------------- /environment.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/environment.py -------------------------------------------------------------------------------- /model_calibration/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /model_calibration/calib_utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/model_calibration/calib_utils.py -------------------------------------------------------------------------------- /model_calibration/master_calibration.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/model_calibration/master_calibration.py -------------------------------------------------------------------------------- /model_calibration/uk_dnn_filter.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/model_calibration/uk_dnn_filter.py -------------------------------------------------------------------------------- /model_simulator/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /model_simulator/charafun_pricing.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/model_simulator/charafun_pricing.py -------------------------------------------------------------------------------- /model_simulator/master_simulator.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/model_simulator/master_simulator.py -------------------------------------------------------------------------------- /model_simulator/pricing_models.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/gmanzog/DeepLearningCreditRiskModeling/HEAD/model_simulator/pricing_models.py --------------------------------------------------------------------------------