DATA IS NEW OIL

"Data is the new oil. Like oil, data is valuable, but if unrefined, it cannot really be used."

  • Lorem
  • Ipsum
  • Dolor

VALUE AT RISK / MARKET RISK MODELING

Value at Risk (VaR) is a financial metric that estimates the risk of an investment, a portfolio, or an entity, such as a fund or corporation. Specifically, VaR is a statistic that quantifies the extent of possible financial losses that could occur over a specified period of time. This metric is easy to understand, applicable to all types of assets, and is a universally accepted measurement of risk when buying, selling, or recommending assets.

MULTICURVES

The multi-curve framework amounts to construct one discount curve and many tenor curves. The discount curve is typically built with OIS instruments, which are the best approximation for the risk free rate. All the other tenor curve are built with instruments with homogeneous tenors. The most used tenors are 3M, 6M, 9M, 12M. Typically, the longer the tenor the riskier the trade and hence the higher the corresponding rate.

INTEREST RATE MODELS/Derivatives Valuations

Market risk models are used to measure potential losses from interest rate risk, equity risk, currency risk and commodity risk – as well as the probability of these potential losses occurring. The value-at-risk or VAR method is widely used within market risk models.

BACKTESTING/FRTB

Model validation is the iterative process used to verify and validate financial models to ensure that they meet their intended business use and perform within design expectations. To ensure transparency and independency, model validation is sometimes performed by a third party who neither develops nor uses the models

MODEL VALIDATION

Model validation is the iterative process used to verify and validate financial models to ensure that they meet their intended business use and perform within design expectations. To ensure transparency and independency, model validation is sometimes performed by a third party who neither develops nor uses the models

BOND VALUATIONS

Bond valuation is a technique for determining the theoretical fair value of a particular bond. Bond valuation includes calculating the present value of a bond's future interest payments, also known as its cash flow, and the bond's value upon maturity, also known as its face value or par value. Because a bond's par value and interest payments are fixed, an investor uses bond valuation to determine what rate of return is required for a bond investment to be worthwhile.

SKILLS


  • Derivatives Valuations

  • XVA Analysis

  • FRTB

  • Market Risk

  • MY SQL

  • Excel

  • Python

  • Tableau