Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning
A framework for estimating Basel IV capital requirements.
R Packing Calculating Credit Risk Valuation Adjustments
implementing the SA-CCR based on the CRR2 Regulation
R package implementing the SA-CCR based on the CRR2 Regulation
Trading R Package
Institutional Securities Lending, Financing, Repo & Prime Brokerage Trading, Risk Management, Optimization & Decision-Support Engine.
Wrong-Way Risk (WWR) estimation for counterparty credit risk - a minimal, hexagonal, numpy-only Python library (CVA, alpha multiplier, Hull-White & copula models).
Python project simulating counterparty credit risk and margin call workflows using real energy market data.
Educational desktop app that teaches OTC derivatives counterparty-credit underwriting end to end: Monte Carlo exposure (EE/PFE), CVA/DVA/FVA, CSA collateral, limits, and an underwriting memo — plus a guided role-play simulator. PySide6/Qt6, runs offline on synthetic data.
Bilingual (FR/EN) primer on market finance, risk measures and counterparty credit risk (CVA, SA-CCR, collateral, netting), written for engineers with no finance background. Editorial content and a full glossary, no calculators.
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