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CLAUDE.md — banking-risk

What this project is

Banking regulatory risk applications built on quant-risk-engine. Covers IRRBB EVE/NII SOT, FRTB SA GIRR, CSRBB, credit risk IRB, and liquidity risk (LCR, NSFR, stress testing, ILAAP).

The library at quant-risk-engine handles all curve construction, instrument pricing, and model simulation. This repo applies that infrastructure to regulatory and internal risk frameworks. No pricing logic lives here — only domain application.

Stack

  • Python 3.13
  • quant-risk-engine (local editable install)
  • QuantLib via quant-risk-engine
  • scipy (norm.cdf/ppf for IRB capital formula)

How we work together

Do not make changes without checking with me first.

  1. Read the ticket before touching anything.
  2. Explain your understanding and proposed approach.
  3. Wait for go-ahead before writing code.
  4. One logical step at a time.
  5. Explain what you did and the regulatory reasoning.
  6. Commit message format: BKR-NNN: short description

Things never to do without explicit permission

  • Modify or delete passing tests
  • Touch notebook files unless the task says so
  • Introduce pricing logic — that belongs in quant-risk-engine
  • Introduce new dependencies without flagging first
  • Suggest or generate a commit directly to main

Regulatory context

Regulation Where it matters
EBA/RTS/2022/10 IRRBB EVE SOT 15%, NII SOT 5%
CRR3 Art. 325 FRTB SA GIRR delta/vega/curvature, prescribed vertices
EBA/GL/2022/14 IRRBB governance, NMD modelling, CSRBB
CRR Art. 153 IRB capital formula — asset correlation, K, RWA
CRR Art. 228–230 LGD floors — collateral haircut approach
CRR Art. 412–428 LCR — liquidity coverage ratio
CRR Art. 428a–428ax NSFR — net stable funding ratio
EBA/GL/2019/02 LCR reporting and outflow rates
EBA/GL/2018/02 Internal liquidity stress testing
EBA/GL/2021/01 ILAAP — internal liquidity adequacy assessment
BCBS 248 Intraday liquidity monitoring tools
EBA ITS 2021/05 Asset encumbrance and funding gap reporting

Running

python -m venv .venv
source .venv/bin/activate
pip install -e /path/to/quant-risk-engine
pip install -e .[dev]
cp .env.example .env
nbstripout --install
pytest tests/ -v
jupyter lab

Current status — 346 tests passing

Modules

Domain File Regulatory ref
IRRBB EVE SOT irrbb/eve.py EBA/RTS/2022/10
IRRBB NII SOT irrbb/nii.py EBA/RTS/2022/10
IRRBB repricing gap irrbb/gap.py EBA/GL/2022/14
IRRBB banking book + NMD irrbb/book.py EBA/GL/2022/14
IRRBB scenarios irrbb/scenarios.py EBA/RTS/2022/10 Annex III
FRTB GIRR delta frtb/girr/delta.py CRR3 Art. 325bd/bf
FRTB GIRR vega frtb/girr/vega.py CRR3 Art. 325bd/bf
FRTB GIRR curvature frtb/girr/curvature.py CRR3 Art. 325e/ef
FRTB vertex mapping frtb/vertex_mapping.py CRR3 Art. 325bd
FRTB trading portfolio frtb/portfolio.py CRR3 Art. 325
CSRBB spread risk csrbb/spread_risk.py EBA/GL/2022/14
Credit risk PD credit_risk/pd.py CRR Art. 163
Credit risk LGD credit_risk/lgd.py CRR Art. 228–230
Credit risk EL + IRB credit_risk/el.py CRR Art. 153/162
Liquidity LCR liquidity/lcr.py CRR Art. 412–428
Liquidity NSFR liquidity/nsfr.py CRR Art. 428a–428ax
Liquidity intraday liquidity/intraday.py BCBS 248
Liquidity funding gap liquidity/funding_gap.py EBA ITS 2021/05
Liquidity collateral liquidity/collateral.py EBA ITS 2021/05
Liquidity stress liquidity/stress.py EBA/GL/2018/02
Liquidity EWI liquidity/ewi.py EBA/GL/2021/01
Liquidity ILAAP liquidity/ilaap.py EBA/GL/2021/01
Shared curve projection shared/curve_projection.py —
Shared curve adapter shared/curves.py —
Shared date utils shared/dates.py —
Reporting styles + reporters utils/reporting.py —

Notebooks

Notebook Content
notebooks/01_irrbb.ipynb EVE SOT, NII SOT, repricing gap, NMD banking book
notebooks/02_frtb_girr.ipynb GIRR delta, vega, curvature, combined capital
notebooks/03_csrbb.ipynb CS01, stress P&L, rating-bucket breakdown
notebooks/04_credit_risk.ipynb PD models, LGD collateral, EL, IRB capital formula
notebooks/05_liquidity_ratios.ipynb LCR (HQLA caps, outflows) and NSFR sensitivity
notebooks/06_liquidity_monitoring.ipynb Intraday, funding gap, collateral, stress, EWI, ILAAP

Tickets

Credit risk / CSRBB

Ticket Description
BKR-24 credit_risk/pd.py: Rating_PD_Model and Logistic_PD_Model
BKR-25 credit_risk/lgd.py: CRR_LGD_Model — collateral haircut approach
BKR-26 credit_risk/el.py: Expected_Loss_Calculator + IRB capital K and RWA
BKR-27 csrbb/spread_risk.py: SA_CSRBB_Calculator — CS01 and scenario stress P&L

IRRBB

Ticket Description
BKR-36 irrbb/eve.py: SA_EVE_Calculator — EVE SOT 15% Tier 1
BKR-37 irrbb/nii.py: SA_NII_Calculator — NII SOT 5% Tier 1
BKR-38 utils/reporting.py: Dark_Style, Light_Style, EVE/NII/Gap/GIRR reporters
BKR-39 irrbb/__init__.py: clean public API

FRTB

Ticket Description
BKR-40 frtb/girr/vega.py: SA_GIRR_Vega_Calculator — Kronecker correlation matrix
BKR-41 frtb/vertex_mapping.py: nearest_vertex, assign_to_bucket, all CRR3 vertex grids
BKR-42 frtb/portfolio.py: Trading_Instrument, Standard_Trading_Portfolio
BKR-43 frtb/girr/curvature.py: SA_GIRR_Curvature_Calculator, curvature_pnl_from_greeks
BKR-44 notebooks/02_frtb_girr.ipynb: end-to-end FRTB GIRR demo

Liquidity risk

Ticket Description
BKR-46 liquidity/lcr.py: SA_LCR_Calculator — HQLA caps, outflow/inflow rates
BKR-47 liquidity/nsfr.py: SA_NSFR_Calculator — ASF/RSF factor tables
BKR-48 liquidity/intraday.py: Intraday_Monitor — BCBS 248 daily monitoring tools
BKR-49 liquidity/funding_gap.py: Funding_Gap_Analyser — maturity ladder and rollover risk
BKR-50 liquidity/collateral.py: Collateral_Manager — encumbrance ratio, HQLA buffer
BKR-51 liquidity/stress.py: Liquidity_Stress_Calculator — idiosyncratic / market-wide / combined
BKR-52 liquidity/ewi.py: EWI_Monitor — traffic-light dashboard, CFP triggers
BKR-53 liquidity/ilaap.py: ILAAP_Aggregator — adequacy status from all liquidity metrics

notice on implementation

No need to use from future import annotations we are usign python 3.13