Predicting Companies Default Risk

An experimental research project (‘Modal’) at Ecole Polytechnique done with Julien Lambert under the supervision of Ass. Prof. Clément Rey.

To predict the default risk of companies whose value follows a geometric Brownian motion, we implemented statistical simulation methods for low probabilities in Python and simulated default risks using Monte Carlo, splitting and particle method.

You can find below the project Report and the Slides we’ve done for the project defense.