basel3

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Here are 5 public repositories matching this topic...

frtb-net / FRTB

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Free, open-source FRTB capital calculators

frtb basel3

Updated Feb 1, 2026
Python

Chengyueminga / MarketRisk_VaR

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Simulated 1-day 99% Monte Carlo VaR with Basel III regulatory backtesting

finance framework risk-analysis risk linear-regression monte-carlo-simulation value-at-risk risk-management backtesting basel-iii basel3

Updated Nov 3, 2025
Jupyter Notebook

danielep71 / K-IRRBB-NMDs

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K-IRRBB behavioral models in Excel/VBA for interest rate risk in the banking book: non-maturity deposit stability, decay, interest rate pass-through, calibration, scenario analysis, and backtesting.

excel vba alm model-validation risk-management backtesting basel nmd basel-iii irrbb basel3 interest-rate-risk banking-book non-maturity-deposits deposit-modeling basel4

Updated Nov 12, 2026
Python

danielep71 / K-CVA

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Regulatory capital for credit valuation adjustment (CVA) risk under EU CRR3: BA-CVA first, then SA-CVA, in Excel/VBA. Repository setup only; no validated calculation yet.

risk excel vba cva risk-management basel vba-excel basel3 banking-regulation crr3 regulatory-capital basel4 credit-valuation-adjustment ba-cva sa-cva

Updated Nov 11, 2026
Python

danielep71 / K-SACCR

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Independent Excel/VBA toolkit for SA-CCR calculation, regulatory benchmarking and validation under CRR and Basel, with reproducible tests, reconciliation and audit evidence.

excel vba derivatives model-validation risk-management basel credit-risk counterparty-credit-risk sa-ccr basel-iii basel3 saccr basel4

Updated Nov 11, 2026
VBA

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