Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.

Simulated 1-day 99% Monte Carlo VaR with Basel III regulatory backtesting

A credit risk scorecard webapp that lets finance teams and analysts run Basel-compliant loan default predictions.

Balance sheet forecasting tool for banks - capital management, liquidity management, and stress testing with Basel III compliance

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.

Regulatory reporting pipeline (LCR Bâle III) built with dbt Core & Snowflake, Medallion architecture, data quality tests, Phase 2: Airflow orchestration

A Basel III mortgage capital project comparing STD vs IRB RWA/CET1, using Logistic Regression PD modelling.

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.

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.

Serverless AWS liquidity risk monitoring system - calculates Basel III LCR and alerts on regulatory breaches

Built a macro factor risk model using PCA and multi-factor regression on FRED macro variables to decompose returns across equities, bonds, credit, and gold. Estimated factor exposures, systematic risk, and regime-driven stress impacts (rate shock, recession, risk-off) across SPY, TLT, LQD, and GLD.

End-to-end risk analytics platform for retail banking: PD model, IFRS 9 ECL staging, fraud detection (rules + ML), and customer analytics. Built with Python and scikit-learn.

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.

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.

Multi-asset market risk framework: VaR, Expected Shortfall, stress testing, and backtesting across equity, IG/HY credit, and US Treasury instruments.

A quantitative framework for modeling Operational Risk Capital under Basel III standards using the Loss Distribution Approach (LDA). Implements Monte Carlo convolution of Poisson frequency and Generalized Pareto (Heavy-Tailed) severity distributions to calculate the 99.9% Value at Risk (VaR).

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.

SQL data quality framework and Basel III regulatory calculations for credit risk management

FRTB-aligned VaR & Expected Shortfall risk engine with GARCH volatility modeling, regulatory backtesting, and Streamlit dashboard — built for Swedish equities.