Apr 2023 – Sep 2024 · 1 yr 5 mos

Jul 2020 – Mar 2023 · 2 yrs 8 mos

• Worked on below Risk Models:
• Incremental Risk Charge (IRC): Involved in Periodic Review of IRC model. Validated CDS based correlation calibration.
• Default Risk Charge (DRC): Validated both SA and IMA based DRC models. Validated Equity based correlation calibration. Looked into sensitivities of the model for different parameters.
• ICAAP Operational Risk: Validated both stressed and unstressed Op Risk models.

May 2019 – Jul 2019 · 2 mos · Mumbai Area, India

• Foreign Exchange (FX) Delta Sensitivity.
• Formulated FX Delta sensitivity per currency for a generalized FX derivative contract and showed that it is independent of chosen base-currency.
• Delta profit and loss (P&L) calculated using both base-pairs and cross-pairs approaches are shown to be uniquely defined up-to first order.
• Mathematically proved that Delta P&L (in the given currency) calculated using base-pairs approach doesn't depend on base currency chosen.
• Showed that base-pair approach simplifies the process of financial statements reporting to different legal entities in different reporting currency.
• Formulated translation delta, which is risk of conversion from one currency to another, which needs to be considered while currency conversion.

Dec 2018 – Dec 2018 · 0 mo · Hyderabad Area, India

• Implemented Post Earning Announcement Drift (PEAD) trading on Indian market.
• Used Selenium (Python) for web scraping from Prowess.dx for data extraction of different companies which fell under required standard unexpected earnings (SUE) on the given announcement date.
• Used ARIMA model for forecasting earnings and calculated Abnormal return using expected return from CAPM.
• Analysed affect of demonetisation on ownership of different firms. Scraped data from NSE bhavcopy using Python.

May 2018 – Jul 2018 · 2 mos · Edmonton, Canada Area

• Created a Data Visualisation interface on Unity with a proper control on individual videos like dragging the slider value, play/pause, speed forward/ slow,
• move forward/ backward
• Worked on Jupyter Notebook for separating data based on participant id and Unicog game using Python to check their performance.
• Cleaned and Organised the data on the server and Designed one website (142.244.87.239/study2017/) containing all data and related information for easy access to team members
• Prepared complete structure of the project on GitHub.
• Prepared a poster and presented my work to UARE officials and professors from different departments at the symposium.

Sep 2017 – Apr 2018 · 7 mos · Kharagpur Area, India