Skip to content
Permalink
Browse files

Add nb/fred-credit-spreads.ipynb for Credit Profile

Serves also as a tutorial for use of MAD,
Median Absolute Deviation, in robustly rescaling
non-Gaussian time-series.

We consider mortgage and corporate credit spreads
to construct a robust Unified Credit Profile
to calibrate credit default risk in the context
of monetary policy.
  • Loading branch information...
rsvp committed Dec 3, 2018
1 parent d9dea05 commit de7de92a965fabeffe1973dab90dbbc41ed9052a
Showing with 752 additions and 0 deletions.
  1. +752 −0 nb/fred-credit-spreads.ipynb

0 comments on commit de7de92

Please sign in to comment.
You can’t perform that action at this time.