Risk (Market, Credit & Model Risk)

VaR and Expected Shortfall as quantiles of the loss distribution, the three estimation methods, and honest limits.

• ▸Parametric, historical and Monte Carlo VaR
• ▸Square-root-of-time scaling and diversification
• ▸Expected Shortfall and coherence

The Greeks, DV01 and CS01 as first-order exposures, aggregated across a book and capped by limits.

• ▸Turning a sensitivity into a P&L
• ▸Gamma and convexity corrections
• ▸Limits, utilisation and breaches

Expected loss from PD, LGD and EAD, derivatives exposure after netting, CVA and wrong-way risk.

• ▸Expected loss decomposition
• ▸Current and potential future exposure
• ▸Netting, collateral and CVA

Revaluing a book under large joint shocks, historical and reverse stress, and why stress complements VaR.

• ▸Scenario revaluation and worst case
• ▸Historical, hypothetical and reverse stress
• ▸Correlation breakdown in a crisis

NumPy and pandas patterns for VaR, Expected Shortfall, scaling and scenario revaluation.

• ▸Parametric and historical VaR
• ▸Expected Shortfall and the tail
• ▸Scenario P&L from sensitivities

Building a clean, auditable VaR, stress and limit workbook the way a risk analyst would.

• ▸PERCENTILE for VaR and ES
• ▸A joint-shock stress grid
• ▸A limit and utilisation dashboard

Portfolio VaR Calculator

Compute parametric and historical VaR for a multi-position book, decompose it into component VaR and quantify the diversification benefit.

Stress Test & Scenario Matrix

Revalue a book under prescribed factor shocks, build a scenario PnL grid and identify the worst case.

Credit Expected-Loss & Exposure

Size expected loss across a counterparty book, apply netting and flag limit breaches.