risk-modelling

Risk-First Software Development

An open source library for portfolio optimisation

Extensive and accessible COVID-19 data + forecasting for counties and hospitals. 📈

The full scope of IFRS 9 Impairment models including PD, LGD and EAD are provided. It also covers ECL, which is the combination of those three parameters as well as staging criteria.

Light weight dependency graph for systems with massive calculation complexities or scheduling systems

A python framework for risk scoring

Code that implements Factor Analysis of Information Risk (FAIR) in combination with MITRE ATT&CK using Markov Chain Monte Carlo (via PyMC) to determine the frequency of successful attacks.

💹 A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities

This is the official code for the paper RAP: Risk-Aware Prediction for Robust Planning: https://arxiv.org/abs/2210.01368

Bayesian Inference and parameter estimation in quant finance.

Using various machine learning models to predict whether a company will go bankrupt

ETM enables the creation of detailed attack graphs and figures while calculating the risk associated with your attack narratives. ETM was built keeping NIST recommendations on threat matrices in mind. Features an API to interact on your data to act as a living database of your executed threat models.

ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.

Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.

A curated threat modeling library collection

Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."

⛑ Code for "Metabolomic profiles predict individual multi-disease outcomes" ⛑

Practical, hands-on risk modeling, risk assessment and verifications of risk models across major risk classes and understanding risk regulation as well. Implementing risk models in Python, R and Excel.

multi-factor equity risk model for US markets, built on Sharadar data