May 2013 – Jul 2013 · 2 mos · Hyderabad Area, India

• 1. Modeled asset returns using different distributions, calculated VaR for a large portfolio using analytical, parametric and Monte Carlo techniques and conducted stress-testing and back-testing on the methodologies.
• 2. Predicted corporate cashflows of a global financial institution using multiple regression techniques.
• 3. Designed and programmed an algorithm for solving L1 regression problem and extending it to multivariate case which can be used in optimization of hedged portfolio.
• 4. Reviewed and debugged MATLAB codes, assisting in the ongoing research of hedging of portfolio of FX contracts by options and forward contracts using bucket formation.

May 2012 – Jul 2012 · 2 mos · New Delhi Area, India

• 1. Published a research paper entitled “Algorithm of Construction of Portfolio of Stocks using Treynor’s Ratio” in Journal of Applied Research in Finance (JARF).
• 2. Designed and implemented an algorithm for calculating marginal tax rates for companies in the following two scenarios: when only carry forward losses are allowed and when both carry forward and carry backward losses are allowed.

Dec 2011 – Dec 2011 · 0 mo · New Delhi Area, India

• Study of Finite differences and mesh free techniques for solving PDEs.