Quantitative Model Validation Portfolio

This repository showcases industry-style projects for model development and validation in credit risk, market risk, and stress testing.

📂 Repo Structure

• notebooks/ → Exploratory analysis & step-by-step model development
• src/ → Reusable production-style code (data prep, modeling, validation)
• reports/ → Governance-style validation reports (PDF/Markdown)
• docs/ → Methodology notes, regulatory references (SR 11-7, Basel, CECL)

🔹 Example Project: Credit Risk PD Model

• Objective: Build and validate a Probability of Default (PD) model
• Data: Open LendingClub loan dataset
• Champion Model: Logistic Regression
• Challenger Model: Random Forest
• Validation Tests:
  • AUC, KS statistic
  • Calibration plot
  • Population Stability Index (PSI)
• Deliverables:
  • Notebook
  • Report

🚀 Next Steps

1. Add market risk project (VaR backtesting with Kupiec & Christoffersen tests)
2. Add stress testing framework (link macro scenarios → portfolio losses)
3. Expand validation toolkit (benchmarking, challenger-vs-champion)