Posts by Tag

Risk Management

Hedging Net Interest Income over time: optimal control and when reinforcement learning actually helps

8 minute read

A bank’s net interest income is a sequential decision problem: choose a hedge every month as the yield curve moves. I model the curve with an arbitrage-free ...

Rebuilding an ALM Risk Pipeline: what DuckDB, dbt, Dagster, and Parquet bought me

12 minute read

I rebuilt my Basel ALM risk pipeline on a more modern, production-grade stack. It also includes a few novel models with the old ones, such as Hull-White 1...

Bayesian SVAR analysis for macroeconomic and IRRBB forecasting with Python

3 minute read

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...

From Compliance to Dashboard: Building a Basel III Risk Platform with Streamlit and PostgreSQL

4 minute read

Introduction

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Basel III

Rebuilding an ALM Risk Pipeline: what DuckDB, dbt, Dagster, and Parquet bought me

12 minute read

I rebuilt my Basel ALM risk pipeline on a more modern, production-grade stack. It also includes a few novel models with the old ones, such as Hull-White 1...

Bayesian SVAR analysis for macroeconomic and IRRBB forecasting with Python

3 minute read

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...

From Compliance to Dashboard: Building a Basel III Risk Platform with Streamlit and PostgreSQL

4 minute read

Introduction

Back to Top ↑

IRRBB

Hedging Net Interest Income over time: optimal control and when reinforcement learning actually helps

8 minute read

A bank’s net interest income is a sequential decision problem: choose a hedge every month as the yield curve moves. I model the curve with an arbitrage-free ...

Bayesian state-space and hierarchical modelling of bank deposit rates

9 minute read

Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...

Bayesian SVAR analysis for macroeconomic and IRRBB forecasting with Python

3 minute read

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...

Back to Top ↑

Streamlit

Rebuilding an ALM Risk Pipeline: what DuckDB, dbt, Dagster, and Parquet bought me

12 minute read

I rebuilt my Basel ALM risk pipeline on a more modern, production-grade stack. It also includes a few novel models with the old ones, such as Hull-White 1...

From Compliance to Dashboard: Building a Basel III Risk Platform with Streamlit and PostgreSQL

4 minute read

Introduction

Back to Top ↑

SQL

Rebuilding an ALM Risk Pipeline: what DuckDB, dbt, Dagster, and Parquet bought me

12 minute read

I rebuilt my Basel ALM risk pipeline on a more modern, production-grade stack. It also includes a few novel models with the old ones, such as Hull-White 1...

From Compliance to Dashboard: Building a Basel III Risk Platform with Streamlit and PostgreSQL

4 minute read

Introduction

Back to Top ↑

PyMC

Bayesian state-space and hierarchical modelling of bank deposit rates

9 minute read

Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...

Bayesian SVAR analysis for macroeconomic and IRRBB forecasting with Python

3 minute read

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...

Back to Top ↑

SQLAlchemy

From Compliance to Dashboard: Building a Basel III Risk Platform with Streamlit and PostgreSQL

4 minute read

Introduction

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Data Engineering

From Compliance to Dashboard: Building a Basel III Risk Platform with Streamlit and PostgreSQL

4 minute read

Introduction

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SVAR

Bayesian SVAR analysis for macroeconomic and IRRBB forecasting with Python

3 minute read

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...

Back to Top ↑

BVAR

Bayesian SVAR analysis for macroeconomic and IRRBB forecasting with Python

3 minute read

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...

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NMD

Bayesian state-space and hierarchical modelling of bank deposit rates

9 minute read

Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...

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Bayesian

Bayesian state-space and hierarchical modelling of bank deposit rates

9 minute read

Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...

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State-space

Bayesian state-space and hierarchical modelling of bank deposit rates

9 minute read

Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...

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Kalman filter

Bayesian state-space and hierarchical modelling of bank deposit rates

9 minute read

Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...

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Hamilton filter

Bayesian state-space and hierarchical modelling of bank deposit rates

9 minute read

Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...

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Hierarchical models

Bayesian state-space and hierarchical modelling of bank deposit rates

9 minute read

Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...

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dbt

Rebuilding an ALM Risk Pipeline: what DuckDB, dbt, Dagster, and Parquet bought me

12 minute read

I rebuilt my Basel ALM risk pipeline on a more modern, production-grade stack. It also includes a few novel models with the old ones, such as Hull-White 1...

Back to Top ↑

Dagster

Rebuilding an ALM Risk Pipeline: what DuckDB, dbt, Dagster, and Parquet bought me

12 minute read

I rebuilt my Basel ALM risk pipeline on a more modern, production-grade stack. It also includes a few novel models with the old ones, such as Hull-White 1...

Back to Top ↑

DuckDB

Rebuilding an ALM Risk Pipeline: what DuckDB, dbt, Dagster, and Parquet bought me

12 minute read

I rebuilt my Basel ALM risk pipeline on a more modern, production-grade stack. It also includes a few novel models with the old ones, such as Hull-White 1...

Back to Top ↑

Optimal Control

Hedging Net Interest Income over time: optimal control and when reinforcement learning actually helps

8 minute read

A bank’s net interest income is a sequential decision problem: choose a hedge every month as the yield curve moves. I model the curve with an arbitrage-free ...

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Reinforcement Learning

Hedging Net Interest Income over time: optimal control and when reinforcement learning actually helps

8 minute read

A bank’s net interest income is a sequential decision problem: choose a hedge every month as the yield curve moves. I model the curve with an arbitrage-free ...

Back to Top ↑

Kalman Filter

Hedging Net Interest Income over time: optimal control and when reinforcement learning actually helps

8 minute read

A bank’s net interest income is a sequential decision problem: choose a hedge every month as the yield curve moves. I model the curve with an arbitrage-free ...

Back to Top ↑

AFNS

Hedging Net Interest Income over time: optimal control and when reinforcement learning actually helps

8 minute read

A bank’s net interest income is a sequential decision problem: choose a hedge every month as the yield curve moves. I model the curve with an arbitrage-free ...

Back to Top ↑