frtb

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

Free, open-source FRTB capital calculators

This is about calculating Market Risk capital charge under Standardised Approach(SBM) in FRTB

The Ultimate BI tool

Advanced Approach under FRTB(IMA) requires institutions to meet quantitative tests namely Backtesting and PnL attribution..

FRTB IMA-compliant daily VaR/Expected Shortfall risk monitor: stress calibration, liquidity-horizon scaling, NMRF checks, Acerbi-Szekely/Kupiec/Christoffersen backtesting, a Plotly Dash dashboard, and Claude-generated narratives.

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.

Greek-based daily PnL attribution for an 8-leg SPY option book: adding second-order terms (gamma, vanna, volga) cuts the unexplained residual 87.6% to 0.196% of daily abs PnL, with FRTB risk-factor tests and a SABR-delta hedging comparison.

Basel FRTB market-risk capital in Python: Standardised and Internal Models approaches, desk eligibility, SA fallback and Market RWA on a synthetic trading book.

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

Expected Shortfall 97.5 and Stressed VaR under Basel III and FRTB, three estimators compared, with a Kupiec backtest of a calm window calibration.

FRTB IMA engine: VaR, ES, full backtesting suite, stressed calibration, and PLAT test in Python.

Open-source financial risk platform with 385+ JIT-accelerated functions for fast VaR and Monte Carlo simulations.

EU banking regulatory risk frameworks implemented in Python: IRRBB, FRTB, CSRBB, credit risk IRB, and liquidity risk (LCR, NSFR, stress testing, ILAAP).

Basel IV FRTB Sensitivity-Based Method (SBM) Equity Risk Capital Charge Calculator in Python (BCBS MAR21 compliant).

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

Derivatives pricing and risk system: 40Y SOFR OIS bootstrap, SABR surface calibration, Greek P&L attribution with FRTB PLA testing, and VaR/ES stress framework documented to SR 11-7.