Portfolio

Selected projects.

2025Credit Risk & IFRS 9

Crypto Lending

Flask dashboard for bank credit risk analysts under IFRS 9, with four ECL approaches for BTC-collateralised loans with Newton-Raphson EIR solving, full stage classification, and a live CoinGecko market monitor.

4 ECL Models
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Crypto Lending: IFRS 9 BTC Loan Analytics
2026Market Risk & Value-at-Risk

Market Risk Engine

A full-revaluation VaR engine across five scopes (calibration, Monte Carlo scenarios, full reval, decomposition, and nested-path simulation) anchored to real IG market data.

99.5% VaR $627.6k
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Market Risk Engine
2024Microstructure & Paper Trading

Deribit LOB Model

Real-time limit order book analysis and paper-trading system streaming live Deribit data through four competing microstructure strategies.

4 Strategies
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Deribit LOB Model Dashboard
2026Credit Risk & Portfolio Loss

Credit Risk Engine

A portfolio credit loss engine combining exact Panjer-recursion default risk with Merton-style migration risk into a full loss distribution and additive capital.

Exact Panjer Recursion
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Credit Risk Engine