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  1. credit-risk-models credit-risk-models Public

    Portfolio Credit VaR across 3 methodologies — CreditMetrics (rating migration), KMV/Merton (structural default), and Basel IRB (regulatory formula) — with a side-by-side comparison notebook.

    Python

  2. Portfolio_Value-at-Risk_Engine Portfolio_Value-at-Risk_Engine Public

    Portfolio Value at Risk engine — 3 VaR methods, weight optimization, and Kupiec POF backtesting in Python

    Jupyter Notebook