Bayesian SVAR analysis for macroeconomic and IRRBB forecasting with Python
Interest rate risk in the banking book (IRRBB) is one of the fundamental components of Basel III regulations. Supervisors require banks to evaluate the impac...
Thomas Martins / Martinez
Welcome!
Hi, I’m Thomas Martins 🇧🇷 / Martinez 🇪🇸, a quantitative risk analyst, economist and statistician with a strong background in time series forecasting and financial econometrics.
🧰 Risk Management Tools
I build full-stack, production-grade tools for risk analytics and supervisory reporting, combining end-to-end data pipelines, probabilistic programming and economic models to deliver reproducible and interpretable outputs for regulatory metrics and risk management.
My portfolio includes three projects that demonstrate my ability to build data pipelines, deploy interactive dashboards, and integrate quantitative methods in a modern risk infrastructure:
- Basel III Risk Data Pipeline & Interactive Dashboard
An end-to-end platform for Basel III liquidity, capital, and IRRBB metrics, including PostgreSQL schema design, SQLAlchemy integration, and Streamlit dashboard deployment. Live App | GitHub | Blog
- Bayesian SVAR analysis for macroeconomic and IRRBB forecasting with Python
A research project that links Bayesian macroeconomic modeling and scalable probabilistic programming in Python with Basel III IRRBB scenarios and NII/EVE impacts. Jupyter | GitHub | Blog
- Reinforcement Learning and Optimal Control for IRRBB Hedging Under Uncertainty
A quantitative framework for interest-rate risk hedging combining no-arbitrage term-structure models (Diebold–Li / DNS and AFNS) and stochastic simulation of yield-curve dynamics for NII hedging using optimal control and reinforcement learning. Jupyter | Pluto.jl
🎓 Research and Writing
Alongside my professional activities, my research interests include:
- Macrofinance
- Fiscal-monetary policy interactions
- Bayesian macroeconometrics
- The macroeconomic consequences of demographic change
I’m passionate about using Bayesian methods and structural modeling to answer complex economic questions at the intersection of statistics, finance and macroeconomics.
Curious about my academic work?
Visit my Research page for ongoing projects and ideas.
You can also explore some of my Blog posts
I have an open-access digital book:
Bayesian Methods in Asset Pricing
📬 Contact
Feel free to reach out by email:
thomascsmartins (at) gmail.com
Thanks for visiting!