# Calculate the implied loss rate on a loan, given the interest charged

My bank has a retail credit portfolio of 100 million in loans. I know the payment history,balance history of all these loans since inception. Are there any tools to calculate an expected loss, a loss distribution either at the loan level or at the portfolio level from the interest charged?

My thinking is that a higher interest charged relates to a higher expected loss qualitatively. What I want to do is reverse engineer the expected loss based on the interest and see if the number matches with the official numbers from the Group Risk folks.

• I suspect you will want to use the python library pandas. Essentially your problem is a data preprocessing and processing task, which this will do for you. The next part of your problem is a Regression or Classification machine learning task which the python library Scikit-Learn can do. I highly doubt there to be any ready made softwares which you can slot your data into. The learning curve of python tools is probably better and more useful than a localised software package. – Attack68 Apr 22 '19 at 17:11
• What I am asking is for a high level methodology, not the tools/software. – Victor123 Apr 22 '19 at 17:17
• Apologies, I was confused when you wrote; Are there any tools to calculate an expected loss, a loss distribution either at... – Attack68 Apr 22 '19 at 17:23