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  1. bl-portfolio-optimiser bl-portfolio-optimiser Public

    Black-Litterman portfolio construction on the EURO STOXX 50 top 15: reverse-optimised equilibrium, Idzorek view-confidence, Theil posterior, max-Sharpe / min-variance / efficient frontier, Streamli…

    Python 2

  2. IFRS9_ECL IFRS9_ECL Public

    Practitioner-grade IFRS 9 expected-credit-loss engine: PD term structures, three-stage SICR waterfall, EBA macro overlays and a Vasicek/ASRF point-in-time PD. Parallel Python + Excel with a methodo…

    Python 2

  3. macro_regime macro_regime Public

    Regime-aware cross-asset risk platform for European markets: 3-state Gaussian HMM, regime-conditional VaR/ES, walk-forward strategy backtests and a stress engine — with deliberate, honest reporting…

    Python 2

  4. market-risk-engine market-risk-engine Public

    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 an…

    Python 2

  5. sfdr2-classification-engine sfdr2-classification-engine Public

    EU SFDR 2.0 product-classification engine (Sustainable / Transition / ESG Basics): PAB exclusion screens, 70% floor, Taxonomy & PAB deeming provisions, decarbonisation-pathway diagnostic, full per-…

    Python 2