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

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

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

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.

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).

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

A collection of projects applying mathematical rigor to financial problems, including Basel III Market Risk backtesting, ARIMA-based sales forecasting, and neural networks for credit approval. Developed using Python (TensorFlow, Scikit-learn) and R (astsa, zoo).

Production-grade Basel III RWA calculation pipeline processing 120M+ records/day with Spark, Airflow, and AWS

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.

FP&A Virtual Experience Program by Citi through Forage

Basel III is a global regulatory framework developed by the Basel Committee on Banking Supervision to strengthen bank capital requirements, introduce new liquidity standards, and reduce risk in the financial sector.

Basel III-compliant credit risk models: PD, LGD, EAD estimation with explainability and regulatory validation frameworks

Feasibility analysis of a captive insurance subsidiary for CIBC in the Cayman Islands — whitepaper, presentation, and RISC program infographic.

Production-grade credit risk modelling platform — Probability of Default, Loss Given Default, Exposure at Default models, Monte Carlo Value at Risk, Basel III Risk-Weighted Assets, and EBA stress testing. Built with Python, Streamlit, and SQLite.

End-to-end Credit Risk Scorecard development. Implemented Weight of Evidence (WoE) binning and Information Value (IV) analysis for feature selection. Validated via Basel-III standards using Gini and AUC-ROC metrics.

This notebook demonstrates a multi-period enterprise-wide stress testing (EWST) framework aligned with OSFI ICAAP expectations.