Performed FRTB Risk Charge aggregations for equity, rates, credit, and FX. Applied Delta-Normal and Full Reval VaR methods for market risk calculations of trading bookConducted stationarity analysis on lagged macroeconomic variables and identified 10 significant variables through regression which captured an R² of 90% for CCAR submissions

Performed Backtesting and Statistical tests on VaR models to analyze breaches in PnL distributionsBuilt interactive Tableau dashboards to visualize Risk Identification metrics across RBC lines of business

QZ Trades Volatility Model:Developed an algorithm to gather options data through API calls and applied a Dupire local volatility model with cubic spline interpolation to generate a volatility surface for different strikes and tenorsRemote Risk:Used MLE to design a calibrator for the 1-factor Hull White Model and performed Monte Carlo simulations to project short-term rates

Real Estate Variable Analysis:Conducted stationarity tests on 20 Real Estate variables and applied ARIMAX and GARCH models to forecast 3-month data and their volatilities with an RMSE below 0.1Mortgage Pricing:Handled outliers and imbalanced data on mortgage dataset and performed PCA and EDA to identify components with an R-squared of 88% Used Lasso, Ridge, PLS and PCR regression models which achieved an accuracy of 93%