Nitin Verma Email and Phone Number

Credit Risk Analytics

=> Interest Rate Modeling:* Worked on short rate models of Vasicek, CIR and Hull White 1 factor. * Pricing of interest rate derivatives like Swaptions, Bond Options, Caps, Floors etc.=> Stochastic Volatility Model:* Worked on Heston model and Hull White (1987) model to capture smile.* Pricing of Equity and FX options (European & exotic) and calculation of greeks.=> Liquidity Risk:* The project included calculating Illiquidity Premium on expected returns for stocks, Worst case bid/ask loss, and Liquidation Price Impact on the value of investment.=> Credit Risk:* Calculating Distance to Default for a portfolio of Corporate Loans. The project included calculating Probability of default for different entities and estimating Loss Given Default.=> Fixed Income:- Pricing and Valuation of Bonds like Convertible Bond, Staggered Bond, Floating rate Bond.=> Performance Analytics & Risk Measurement: - The project includes calculating various Performance measures, Regression Analysis, VaR, Clustered VaR, and Portfolio Optimization.

- Traded in Sugar Futures and Calender Spreads in NYBOT Exchange- Technical Analysis of the Price movements, Fundamental Analysis of Supply/Demand factors for the Commodity market and Macro factors

Mathematical modelling of Rotary Vacuum Filter to assess cake quality in various zones of filtration and optimize the operating parameters to achieve maximum recovery for required purity of the product