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  1. portfolio_var_project portfolio_var_project Public

    Multi-asset VaR & stress-testing framework: 5 VaR methods + Expected Shortfall, Kupiec/Christoffersen backtesting, GARCH-FHS, EVT, component VaR.

    Python 1

  2. risk-platform risk-platform Public

    Integrated credit & market risk platform: 7 VaR methods, PD/LGD credit models, portfolio credit VaR (Vasicek + copulas), FastAPI + Streamlit, Dockerized, CI-tested.

    Python 1

  3. mortgage_rate_modeling mortgage_rate_modeling Public

    End-to-end R time-series project forecasting the US 30-year mortgage rate 10 weeks ahead, comparing ARIMA against a threshold (SETAR) model.

  4. Pairs-Trading-bot Pairs-Trading-bot Public

    Statistical pairs-trading strategy (energy sector) with cointegration-based signals, executed via the Alpaca API

    Jupyter Notebook

  5. statarb statarb Public

    PCA-based market-neutral statistical arbitrage framework on the S&P 500.

    Python