Machine learning for financial risk management
A framework for estimating Basel IV capital requirements.
A systems-thinking essay arguing that most optimization quietly trades away buffers, slack, and resilience to make present metrics look better. It reframes efficiency as borrowing stability from the future, and shows how education, workforce, infrastructure, markets, and hardware all get optimized into fragility.
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
Operational risk Monte Carlo (Poisson/Lognormal) for collision losses—methods, R code, and 99.9% capital estimate.
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