Dynamic hedge framework blending GARCH and Monte Carlo simulations with volatility surface shifts.
🔗 View ResearchEEIO-based Scope 3 modeling with Monte Carlo bands and sectoral CPI-normalized trajectories.
🔗 View ResearchLSM-based pricing with DV01/Vega overlays using QuantLib and comparative G2++ vs Hull-White stress tests.
🔗 View ResearchCDS valuation via Merton-style firm value simulations linked to macro-default probabilities.
🔗 View Researcht-Copula pricing for kth-to-default swaps with antithetic variates and dynamic threshold analytics.
🔗 View ResearchUnified simulator using hybrid LCA and EEIO methods with volatility overlays across sectors.
🔗 View ResearchBasel-compliant IRRBB models capturing basis, repricing, and optionality effects.
🔗 View ResearchAdaptive market making with Q-learning and policy gradient techniques under variable liquidity.
🔗 View ResearchFramework for overlaying macroeconomic shocks on portfolio-level exposures using regime-switching VARs and scenario trees to assess systemic risk amplification.
🔗 View ResearchLatent factor modeling of the term structure using Kalman filters, integrating noise from market liquidity and central bank signaling for forward rate extraction.
🔗 View ResearchDesign of a proxy hedging model for illiquid assets using liquid instruments, with historical stress period validation and cost-efficiency scoring.
🔗 View ResearchLongstaff-Schwartz Monte Carlo model with regression-based continuation value estimation to price and hedge Bermudan swaptions under volatility smiles.
🔗 View ResearchCalibration and pricing comparison of G2++ and Hull-White models using swaptions and callable structures; includes PCA factor analysis for curve risk.
🔗 View ResearchIFRS 9-compliant credit loss engine with term structure overlays, macroeconomic variable regression, and forward-looking PD estimation using ML models.
🔗 View ResearchImplementation of Gaussian and t-copula models for kth-to-default pricing with antithetic variates, recovery-rate uncertainty, and Monte Carlo simulation.
🔗 View ResearchMerton model calibration to market CDS spreads with firm value dynamics, default barrier estimation, and term-structure aligned survival probability curves.
🔗 View ResearchConverted VBA models into QuantLib-Python framework for efficient computation of DV01 and Vega of callable Bermudan swaptions under dynamic yield curves.
🔗 View ResearchEnd-to-end dashboard integrating Input-Output models, sector-based emission intensities, and Monte Carlo simulation for Scope 1–3 GHG emissions tracking.
🔗 View ResearchHedge payoff simulator integrating macroeconomic scenario paths, Monte Carlo overlays, and Greeks analysis to evaluate hedge effectiveness and tail risks.
🔗 View ResearchIntegrated Merton and reduced-form credit risk frameworks for CDS spread pricing and term structure calibration using historical defaults and asset volatilities.
🔗 View ResearchMonte Carlo tool to simulate CVA exposure profiles under correlated interest and credit spread shocks, with dynamic VaR/CVaR heatmaps and XVA adjustments.
🔗 View ResearchCompared swaption prices and sensitivities under calibrated G2++ and Hull-White one-factor models using market swaptions and volatility term structures.
🔗 View ResearchPython implementation of t-copula-based kth-to-default pricing for correlated credit baskets using antithetic variates and historical calibration of copula parameters.
🔗 View Research