banking-risk

Banking-risk translates CRR3, CRD VI, and EBA regulatory requirements into executable Python, covering IRRBB, FRTB SA, CSRBB, ICAAP, liquidity ratios, and credit risk capital. The computation layer is fully separated into quant-risk-engine, which handles curve construction, instrument pricing, and sensitivities. This repo is the regulatory layer: bucketing, aggregation, capital computation, and reporting, built against the actual regulatory texts.

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Regulatory scope

Module	Regulatory reference
irrbb/*	EBA/RTS/2022/10
csrbb/*	EBA/GL/2022/14
frtb/*	CRR3 Art. 325bb
lcr.py	CRR + DR 2015/61 + EBA/GL/2019/02 (reporting/outflow rates)
nsfr.py	CRR (Arts. 428a et seq.)
ilaap.py	EBA/GL/2021/01 + ECB ILAAP Guide
credit_risk/	CRR Art. 153 (IRB formula), Art. 163 (PD), Art. 228–230 (LGD)

Approach

All modules implement the Standardised Approach. FRTB SA follows CRR3 prescribed vertex grids, risk class bucketing, within-bucket netting, correlation matrices, and capital computation across delta, vega, and curvature. IRRBB covers EVE and NII repricing gaps per EBA/RTS/2022/10, with the six prescribed parallel and non-parallel shock scenarios. LGD applies collateral haircuts per CRR Art. 228-230.

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Stack

• Python 3.13
• quant-risk-engine — curve construction, QuantLib pricing
• numpy / scipy / pandas — numerical core
• matplotlib / plotly / seaborn — visualisation
• JupyterLab — interactive analysis

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Setup

Clone both repos side by side:

git clone https://github.com/mrspatbile/quant-risk-engine.git
git clone https://github.com/mrspatbile/banking-risk.git

Create a virtual environment and install:

cd banking-risk
python3 -m venv .venv
source .venv/bin/activate

pip install -e ../quant-risk-engine
pip install -e .[dev]

Configure environment variables:

cp .env.example .env
# add FRED_API_KEY to .env

Verify:

pytest tests/ -v

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Notebooks

Notebooks illustrate usage of the features implemented in the package.

notebooks/
01_irrbb.ipynb  
02_frtb_girr.ipynb                  
03_csrbb.ipynb       
04_credit_risk.ipynb            
05_liquidity_ratios.ipynb     
06_liquidity_monitoring.ipynb
07_frtb_sa.ipynb
08_capital_adequacy.ipynb

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Project layout

📁 src/banking_risk/
│
├── 📁 irrbb/
│   ├── scenarios.py
│   ├── nii.py
│   ├── eve.py
│   ├── gap.py
│   ├── book.py
│   └── constants.py
│
├── 📁 csrbb/
│   └── spread_risk.py
│
├── 📁 frtb/
│   ├── 📁 girr/       
│   ├── 📁 commodity/  
│   ├── 📁 csr/        
│   ├── 📁 fx/         
│   ├── 📁 equity/     
│   ├── sensitivity_engine.py
│   ├── sa.py
│   ├── vertex_mapping.py
│   ├── aggregator.py
│   ├── constants.py
│   └── portfolio.py
│
├── 📁 credit_risk/
│   ├── pd.py
│   ├── lgd.py
│   └── el.py
│
├── 📁  liquidity/
│   ├── collateral.py
│   ├── funding_gap.py
│   ├── intraday.py
│   ├── nsfr.py
│   ├── lcr.py
│   ├── ilaap.py
│   ├── stress.py
│   └── ewi.py
│
├── 📁 shared/
│   ├── curve_projection.py
│   ├── curves.py
│   └── dates.py
│
├── 📁 reporting/
│   ├── dashboard.py
│   └── charts.py
│
📁 tests/
    └── test_*.py  (602 tests)

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Tests

pytest tests/ -v

CI runs on every push and pull request to main via GitHub Actions (.github/workflows/test.yml). Current suite: 602 tests.