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Rohit Khurana's Projects

cecl-modelling-implementation icon cecl-modelling-implementation

Forecasted the Expected Credit Loss, over the lifetime of the mortgage. Built Loan-level PD Model using Markov Chain Transition Matrix and logistic regression with six transition states and validated them using backtesting.

exercising-decision-based-upon-risk-sensitivities- icon exercising-decision-based-upon-risk-sensitivities-

Calculated various risk sensitivities (delta, gamma, rho, vega and theta) for call and put options with underlying as Public Listed Company (Amazon stock) and devised a strategy for taking an exercise decision with variation of stock prices.

var-and-expected-shortfall-calculation-for-portfolio-creation icon var-and-expected-shortfall-calculation-for-portfolio-creation

VAR and Expected Shortfall Calculation for Portfolio Creation (STATISTICAL ANALYSIS | MARKET RISK) R, EXCEL Created an investment portfolio comprising of large-cap stocks by estimating expected shortfall, statistical analysis and further distribution fitting.

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