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  1. credit-risk-pd-validation credit-risk-pd-validation Public

    Explainable PD model + SR 11-7 independent validation on real Lending Club data

    Python

  2. FRTB-Market-Risk-Engine FRTB-Market-Risk-Engine Public

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

    Jupyter Notebook