Projects

The Mechanics of Markov Chain Monte Carlo

R Metropolis sampler for 10-factor portfolio VaR/ES, benchmarked against the exact posterior to show how poor mixing understates parameter risk.

Sep 24, 2026

Time-to-KEV: Where Uniform Patch SLAs Spend Effort and Where Listings Actually Concentrate

Survival Analysis

CVSS

Kaggle

Survival analysis of CISA KEV listings: how likely and how fast CVEs are listed, and which patch SLA design leaves least exposure.

Sep 10, 2026

Multi-Stage Attack Graph Simulation Via Markov Chains

Markov Chain

MITRE ATT&CK Transition

An absorbing Markov chain model of the cyber kill chain in R, quantifying dwell time and containment odds under baseline and hardened defenses.

Aug 27, 2026

High-Dimensional Cyber Anomaly Detection & Systemic Risk Modeling

PageRank

Markov Transition Matrices

A pure-R detection system pairs PageRank-based structural risk mapping with an unsupervised autoencoder and Extreme Value Theory thresholds to catch stealth cyber attacks.

Aug 13, 2026

Quantitative Cyber Risk Analysis: Structural Vulnerability & Criticality Scoring via PageRank

PageRank

Vulnerability

Applies Google’s PageRank algorithm to a 25-node enterprise IT dependency graph, ranking structural single points of failure for board-level risk budgeting.

Jul 30, 2026

ATLAS Threshold Detection Rules Analysis

ATLAS

Incident Detection

ATLAS-based FRR/FAR/EER threshold calibration for detection rule: framing SOC alert tuning as a documented risk decision for cybersecurity leaders.

Jul 16, 2026

Quantifying the Blast Radius - Centrality-Based Criticality Modeling for Infrastructure Risk

Graph Theory

Blast Radius

Which node’s failure breaks the most? Graph centrality and node-removal simulation applied to a 90-node fintech infrastructure topology to rank structural risk and surface the failures that conventional inventories miss.

Jul 2, 2026

The Diversification Question - Copula-Based Aggregation of Operational Risk Losses

Copulas

Operational Risk Modeling

Finds a ~30% capital benefit from modeling operational risk dependence with copulas, and shows the result barely depends on which copula is chosen.

Jun 24, 2026

Extreme Value Theory and Operational Loss Capital Estimation

Extreme Value Theory

Quantifies how much a log-normal capital model understates operational loss tail risk versus a Generalized Pareto fit, using NexaCore’s loss register.

Jun 17, 2026

Mapping the Invisible - Active Directory Privilege Escalation Through Graph Theory Analysis

Graph Theory

Active Directory

An identity governance case study demonstrating how graph theory surfaces hidden privilege escalation paths in enterprise Active Directory environments that static access reviews cannot detect.

Jun 3, 2026

Operational Resilience - Quantifying Third-Party ICT Concentration Risk Under DORA

DORA

risk quantification

A dependency graph model showing 8 ICT vendor entries in a DORA Register of Information collapse to 5 failure domains for a EU asset manager. Calibrated to the ESAs’ 19 designated CTPPs, a discrete-event simulation produces an annualized business interruption loss distribution.

May 27, 2026

Bayesian Cybersecurity Loss Forecasting

FAIR

EVT

risk quantification

Most fintech risk registers treat ransomware as a qualitative category. This model replaces the label with a loss curve — a full distribution of probable annual financial outcomes, expressed in dollars, with Value-at-Risk figures a CFO can act on.

May 18, 2026

Auditing a Pre-Trained Hugging Face Financial Risk Model

hugging face

LLM

This project introduces two R packages — hfhub and tok — and applies them to a structured metadata audit of FinBERT (ProsusAI/finbert), a BERT-based sentiment classifier widely deployed in fintech AI pipelines.

May 11, 2026

Policy as Code - A Simple Introduction

policy as code

This project introduces the Policy as Code concept through the simplest possible worked example — a six-condition password complexity validator — to make the pattern legible to both compliance professionals and engineers.

Apr 30, 2026

When the Clock Starts Ticking - A Survival Analysis of Business Continuity Recovery Times

survival analysis

kaplan-meier

pyQuarto

Survival analysis exposes where RTO targets break down — and why your mean recovery time is lying.

Apr 14, 2026

Infrastructure-Based, Machine-Learning Phishing Detection

Machine Learning

LightGBM

rQuarto

Analyzing the digital fingerprints of URLs through machine learning and the lightGBM model to detect incoming phishing emails.

Mar 31, 2026

Bayesian Kelly Criterion - From Point Estimate to Probability Distribution

Bayes' Theorym

Kelly Criterion

rQuarto

Bayesian Kelly position sizing: replaces the point estimate with a Beta posterior, derives the full Kelly distribution across four scenarios, and builds a staking policy from estimation uncertainty.

Mar 17, 2026

Bayesian Inference in Lending Risk

Bayes' Theorym

Quarto

Credit Risk

Bayesian lending risk analysis in R using rstanarm & bayestestR — posterior distributions, credible intervals, ROPE, and pd applied to real-world Lending Club interest rate data.

Mar 3, 2026

Machine Learning and Survival Analysis - Predicting customer churn using complex statistical modeling

Quarto

Machine Learning

Survival Analysis

A comprehensive data science framework leveraging machine learning and survival analysis for identifying, analyzing, and predicting customer attrition within a consumer credit card division.

Feb 17, 2026

Predicting Vulnerability Exploitation - A Machine Learning Approach

Quarto

Vulnerability Management

Machine Learning

Prediction analysis of CVE exploitation using Machine Learning. Integrates NVD, EPSS, and CISA KEV data to forecast active threats. Features Random Forest modeling, SMOTE balancing, and executive risk visualization to enable proactive vulnerability prioritization.

Feb 3, 2026

Coding the Tail - Implementing Block Bootstrap & Extreme Value Theory in R

Quarto

Extreme Value Theory

Monte-Carlo Simulation

A technical framework and narrative summary project for implementing Block Bootstrap and EVT in R. It provides a practical demonstration of how to quantify tail risk in high-volatility assets (specifically Bitcoin) using advanced statistical methods that outperform standard Gaussian models.

Jan 15, 2026

Modeling Defender’s Dilemma

Shiny

Markov Chain

Monte-Carlo Simulation

An interactive R Shiny app modeling the Defender’s Dilemma via Markov Chains & Monte Carlo simulations. Visualizes the stochastic nature of resource depletion (SOC fatigue, budget) vs. infinite attacks, calculating a specific “Probability of Ruin” to guide risk management.

Jan 5, 2026

Modeling Gamblers’ Ruin

Shiny

Markov Chain

Monte-Carlo Simulation

An Interactive R Shiny app simulating Gambler’s Ruin via Monte Carlo methods. Visualizes Markov Chain dynamics to demonstrate how finite resources face inevitable ruin against infinite odds. Features dynamic inputs for capital & win rates to illustrate risk in trading & cybersecurity.

Dec 18, 2025