Counterparty credit risk model validation workflow: Pillar I capital, CCAR, IFRS 9 and stress testing on a sample portfolio.
Pipeline de credit risk end-to-end: PD logística, Monte Carlo vectorizado, métricas Basel III (EL, VaR, Expected Shortfall) y stress testing. Python · NumPy · pandas · statsmodels
VaR/CVaR investment portfolio risk modeling with backtesting
Regulatory capital for credit valuation adjustment (CVA) risk under EU CRR3: BA-CVA first, then SA-CVA, in Excel/VBA. Repository setup only; no validated calculation yet.
Portfolio hub and website for independent financial risk models: SA-CCR, SFTs, CVA, FRTB-SA, IRRBB behavioural models, LCR and NSFR. Explore tools and methods for benchmarking, model challenge, audit, advisory and education.
A package for credit risk analytics
The Smart MCP Server stands out from other tool orchestration or AI workflow systems in a few meaningful ways: Context Awareness: Unlike many workflow engines or tool servers that require explicit user input to select and run tools, Smart MCP Server automatically analyzes user messages, historical activity, and project context. This intelligent.
Interactive WOE (Weight of Evidence) and IV (Information Value) binning web tool for credit risk scoring, segmentation, and transparent scorecard development.
K-IRRBB behavioral models in Excel/VBA for interest rate risk in the banking book: non-maturity deposit stability, decay, interest rate pass-through, calibration, scenario analysis, and backtesting.
Angular source code for the public website which uses the Knora API
A complete guide of Non-Maturity Deposit model (NMD Models).
Independent Excel/VBA toolkit for SA-CCR calculation, regulatory benchmarking and validation under CRR and Basel, with reproducible tests, reconciliation and audit evidence.
Public web entry point to Cloud Native Basel
Automated OpenTripPlanner graph build for Basel using GTFS, OpenStreetMap data, Docker, and GitHub Actions.
Graded, source-linked environmental audit of Basel-Stadt, in English and German
Honest error bars for portfolio risk: adaptive conformal prediction around volatility and VaR forecasts, audited walk-forward on 1,712 unseen days with Basel-style backtests. Live guided study, updated nightly.
Motor de riesgo de mercado (VaR, Expected Shortfall, GARCH, EVT, stress testing, backtesting de Basilea) + econofísica + ML, con dashboard FastAPI
Retail credit risk on 2.26M Lending Club loans: WoE PD scorecard vs XGBoost, LGD/EAD, IFRS 9 ECL staging and scenarios, Basel IRB capital, model validation report
End-to-end Probability of Default (PD) scorecard model built on the UCI Credit Card Default dataset, following Basel IRB methodology.
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