Part of the Neutryx Lab ecosystem for differentiable finance.
Wrong-Way Risk (WWR) estimation for counterparty credit risk - a minimal, hexagonal, numpy-only Python library (CVA, alpha multiplier, Hull-White & copula models).
Derivative Valuation & Fair Value Adjustment (XVA) Toolkit: OOP instrument hierarchy, Black-Scholes, Monte Carlo, DCF, yield curve bootstrapping, Greeks/DV01 sensitivities, and FVA/CVA/Bid-Offer reserves.
Open model validation, monitoring, stress testing and risk analytics workflows in Python.
End-to-end Python pipeline for derivatives valuation, valuation adjustments, funding valuation adjustment (FVA), and portfolio reporting using NSE NIFTY option-chain data.
Educational desktop app that teaches OTC derivatives counterparty-credit underwriting end to end: Monte Carlo exposure (EE/PFE), CVA/DVA/FVA, CSA collateral, limits, and an underwriting memo — plus a guided role-play simulator. PySide6/Qt6, runs offline on synthetic data.
Deux parties échangent des intérêts pendant plusieurs années. Mesurer comment leur risque de non-paiement et le calendrier des échanges changent la valeur du contrat.
Python pricing library built on QuantLib: curves, fixed income, derivatives, exotic options, stochastic simulation, and XVA.
Counterparty credit exposure and CVA engine: Hull-White 1F Monte Carlo for a netted swap portfolio under a CSA, with a martingale-validated simulation
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