This is the repository for MS&E 246: Financial Risk Analytics Project.
This repository is broken into 4 sections:
reports: includes all code, text, and figures for the final report;scripts: includes R scripts that perform specific tasks (i.e. data joining);studies: includes exploratory analyses and model building pipelines;data: includes all data frames, including raw SBA data and external sources.
For viewability, see files ending in .md, which show plots (when available). Otherwise, see .Rmd files to view all code.
The most important files to note are:
data_summary.md: performs exploratory data analysis;data_join.md: performs data cleaning and joins raw data with external sources;model_fitting.md: fits binary response models of loan default;loss_at_default_model.md: fits loss at default model and estimates VaR and AVaR;cox_processing.R,cox_models.R,cox_diagnostic_functions.R,cox_refit_best_model.R, andcox_surv_probs.R: taken together, fit Cox proportional hazards model and perform analysis.final_report.Rmd: contains all remaining analysis, including Tranche distribution estimation.