Credit portfolio studio: amortization cashflows : PD/LGD/EAD/EL, stress (rate/unemp/collateral), CECL (PV), covenants, pricing — Streamlit
Practitioner-grade IFRS 9 expected-credit-loss engine: PD term structures, three-stage SICR waterfall, EBA macro overlays and a Vasicek/ASRF point-in-time PD. Parallel Python + Excel with a methodology deck.
Reproducible engine that turns Australian bank and regulator disclosures (Pillar 3, APRA, RBA, S&P) into governed, auditable PD / LGD / EL model inputs — base and stressed — with a full audit trail and a 595-test suite.
IFRS 9 Expected Credit Loss model on a 10,000-loan UK SME portfolio - PD/LGD/EAD, SICR staging, 3-scenario macro overlay. R, Python, Excel. AUC 0.77.
IFRS 9 / AASB 9 mortgage credit-risk suite on Freddie Mac loan-level data — PD (logistic, AUC 0.81), real LGD from actual loss data (reconciled to the vendor loss field at 0.99), EAD, expected credit loss, stress testing (×ばつ downturn), a scorecard master scale, and out-of-time / out-of-regime validation.
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