Francesco
Castelli
Credit risk modelling and banking regulation, theory and practice.
📍 Zürich
Experienced manager with 12 years building and auditing credit risk models.
I am passionate about banking regulations, machine learning techniques, and the gap between what models say and what banks actually decide.
The website is organized as follows:
Notes
Breakdowns of banking regulation, credit risk and machine learning topics. One concept per entry, from first principles to the practical implication.
Two streams:
Banking regulation: Basel, CRR3, IRB, IFRS 9, stress testing, liquidity concepts.
Machine learning: models, regularization, calibration, validation, and the techniques that are relevant in a real credit risk work.
Tools
Interactive utilities for working through credit risk and machine learning concepts.
All tools are free, with reasonable usage limits to manage hosting costs.