Apr 2023 – Dec 2023 · 8 mos · India · Remote

• Project Title: Model Validation for Equity Trading desk as per FRTB
• Overview :
• 1) We priced a lookback call option on fixed strike and our underlying is Google stock price(Start: Oct 13 2022, End : 13,2023).
• 2) Then we priced the option using Monte Carlo simulation(with explicit discretisation of stock price).
• 3) Then we find Risk Theoritical PnL and Hypothetical pnl and then calculate 1 day VaR with 95% confidence level.
• 4) Lastly, we perform Backtesting and PLAT.
• Objective:
• To check whether the trading desk meets the quantitative eligibility criteria to employ Internal Models for Market Risk capital calculation set by BASEL guidelines.
• Methodology :
• We download Google stock price data from Yahoo Finance and perform the necessary steps with few assumptions like constant volatility of underlying risk factor.
• Results :
• 1) Trading desk is found to be eligible for use of IMA as it passes the Backtesting and Profit and Loss Attribution test.
• Tools used:
• 1) Python Programming Language(Pandas, Numpy, statistical functions etc)
• 2) MS-Excel
• Key Learnings:
• 1) Pricing Lookback call option under Numerical technique
• 2) Model validation techniques such as Kolmogrov-smirnov test, Spearmen correlation calculations.
• 3) Calculation of Option greeks using Monte carlo simulation technique.

Dec 2022 – Feb 2023 · 2 mos · India · Remote

• Responsible for Creating a LIABILITY-DRIVEN INVESTMENT model extensively used by the Pension fund industry.
• Flow of Work
• Macroeconomic Forecast using Vector Auto Regression model.
• Asset return prediction
• Correlation building using Gaussian Copula and Cholesky decomposition.
• Outcome Analysis like Asset allocation plans and Economic Capital requirement.
• The analytical tool used - MS-Excel
• The certification was based on completion of simulated business problems.