Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
Simulated 1-day 99% Monte Carlo VaR with Basel III regulatory backtesting
Balance sheet forecasting tool for banks - capital management, liquidity management, and stress testing with Basel III compliance
A credit risk scorecard webapp that lets finance teams and analysts run Basel-compliant loan default predictions.
End-to-end sell-side market-risk engine: VaR/ES across four methods, FRTB Expected Shortfall with liquidity horizons, Basel III vs FRTB capital, Kupiec/Christoffersen backtesting, stress testing and component-VaR attribution.
Reference implementation of the BCBS 239 risk-data-aggregation lakehouse pattern on Databricks + Delta Lake + Unity Catalog + dbt-databricks. Portfolio piece, MIT, synthetic data only.
Regulatory reporting pipeline (LCR Bâle III) built with dbt Core & Snowflake, Medallion architecture, data quality tests, Phase 2: Airflow orchestration
Basel III credit risk platform — ML scoring, FastAPI, MLflow, Streamlit
Bob The Judge-Migration Cutover Decision Advisor powered by IBM Bob — IBM Bob Hackathon 2026 CyberFalcon team
A full-stack credit risk platform built with FastAPI and React (Vite). Analyzes financial statements via LangChain + FAISS (RAG) and Claude API, featuring side-by-side prompt tuning evaluations and LLM-as-a-Judge grading audits.
Enterprise-grade credit risk platform on the real Home Credit Default Risk (Kaggle) dataset -- 5 hardened Mega Projects, 30 real verified notebooks, 15 deployable FastAPI services, real statistical validation and explainability throughout. Zero fabrication: every number is computed live, never asserted.
A Basel III mortgage capital project comparing STD vs IRB RWA/CET1, using Logistic Regression PD modelling.
Calculadora de FPR (Fator de Ponderação de Risco) - Res. BCB 229/2022. Calcula RWACPAD para risco de crédito com suporte completo a todas classes de ativos.
Basel III IRB credit risk stress test: PD/LGD/EAD on a synthetic loan portfolio, stressed via single-factor Vasicek PD + downturn LGD, to quantify capital shortfall.
Multi-asset market risk framework: VaR, Expected Shortfall, stress testing, and backtesting across equity, IG/HY credit, and US Treasury instruments.
Institutional RWA liquidity risk engine: Basel III dynamic haircut calibration & Almgren-Chriss fire-sale liquidation modeling.
SQL data quality framework and Basel III regulatory calculations for credit risk management
Quantitative risk analytics and portfolio construction in Python. Covers Monte Carlo VaR/CVaR (Basel III), Markowitz & Risk Parity optimization, and 20+ quant finance concepts from factor models to backtesting methodology. Built for Quant Risk / ML in Finance roles.
Credit risk analysis platform for Norwegian companies. CFA-based scoring, ML probability of default, Altman Z-score and Basel III ROE calculator. Built with Python, Streamlit and scikit-learn.
Serverless AWS liquidity risk monitoring system - calculates Basel III LCR and alerts on regulatory breaches
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