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.
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.
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
Extract CSA terms with an LLM, check every answer, and rank human review by the SA-CCR exposure each misread would move.
End-to-end retail credit risk pipeline on 887 440 LendingClub consumer loans: PD, LGD, EAD, expected credit loss and a credit scorecard, with out-of-sample and out-of-time validation.
Open credit-risk tools: PD validation, calibration, master scales, low-default portfolio methods
Eight VaR/ES models for a $10m multi-asset book, validated over 4,611 trading days with Kupiec, Christoffersen, Basel traffic-light and Acerbi-Szekely tests.
Local tools for querying and visualizing changes in the Basel-Stadt nature inventory.
IFRS 9 ECL engine on 2.26M Lending Club loans: PD scorecard, LGD/EAD models, Basel IRB capital, 3-stage ECL with macro scenarios and full model validation.
Agent AI de risque de crédit sur Microsoft Foundry : staging IFRS 9, PD par matrice de migration, ECL pondérée par scénarios, capital Bâle IRB, ratio CET1 et grands risques, politique en RAG, garde-fou, évaluation 12/12.
Liquidity Coverage Ratio (LCR) reference and independent validation in Excel VBA, with separate EU (Delegated Regulation 2015/61) and Basel profiles. Repository setup: no calculation yet; synthetic data only.
Planned Excel/VBA reference implementation of the EU CRR Net Stable Funding Ratio (NSFR). Repository setup stage: no calculation engine yet; synthetic data only.
An object-oriented, Walk-Forward quantitative risk engine estimating VaR and Expected Shortfall using a Student-t Copula and GJR-GARCH margins
Basel Vasicek credit risk stress testing model with TTC PD estimation, stressed PD mapping, and facility-level Unexpected Loss (UL) analysis.
Vérifier si un modèle estime correctement les prêts qui ne seront pas remboursés, puis construire un dossier de crédit sur Enbridge.
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