Counterparty credit · Python · PySide6/Qt6 · Jul 2026

Counterparty Credit Underwriting Workbench

A desktop app that teaches the OTC derivatives counterparty-credit underwriting decision (exposure, collateral, limits and CVA) on synthetic data. Give it a proposed trade and it measures the exposure, prices the counterparty risk, checks limits, models collateral and drafts an underwriting memo with a recommendation.

Why: Built after applying for a derivatives underwriting role, to learn what the job involves and to practice it. It includes a 17-stage simulator campaign scored against best play.

Features

Five products: interest rate swaps, FX forwards, CDS, European swaptions and cross-currency swaps, netted under an ISDA masterCounterparty credit from a Merton/KMV distance-to-default and an Altman Z-score, mapped to a rating and PD curveMonte Carlo exposure: EE, EPE, PFE at 95% and 99%, peak PFE and the exposure coneCSA collateral: threshold, MTA, initial margin, margin period of risk and FX haircutsCVA, DVA, BCVA and FVA, with an optional wrong-way-risk tiltCredit limit checks with utilization, headroom and incremental exposureScenario stress tests and DV01, CS01 and FX delta sensitivitiesAn underwriting memo with a recommendation, exportable as HTML and PDFA 17-stage training simulator with a coach, predict-then-reveal and scoring against best playRuns offline on a bundled synthetic market snapshot; reproducible runs with saved seeds

Skills learned: Exposure simulation, credit valuation adjustments, collateral mechanics, and writing a recommendation a reviewer can challenge.

View on GitHub → Open live demo

Derivatives Underwriting Workbench Deal overview page in the Graphite theme — Deal overview
Deal header, KPI strip (peak PFE, limit use, EPE, CVA/DVA/FVA, MtM, recommendation), exposure profile, counterparty credit, limit check, the drafted decision and the netting set with today's MtM.

Derivatives Underwriting Workbench Exposure page in the Graphite theme — Exposure
Monte Carlo EE and the PFE 95/99 cone for the netting set including the proposed trade, with the key numbers and a plain-English reading.

Derivatives Underwriting Workbench Collateral & CSA page in the Graphite theme — Collateral & CSA
Threshold, MTA, initial margin and margin period of risk applied to the simulated exposure: collateralized vs uncollateralized EE.

Derivatives Underwriting Workbench XVA page in the Graphite theme — XVA
CVA, DVA and FVA with per-period CVA contributions; wrong-way risk and LGD come from Preferences.

Derivatives Underwriting Workbench Curves & credit page in the Graphite theme — Curves & credit
Editable discount and CDS curves from the market snapshot, plotted and tabulated.

Derivatives Underwriting Workbench Training simulator page in the Graphite theme — Training simulator
A guided underwriting campaign: deals arrive round by round, the coach explains each one, and the run is scored against best play.