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  • Mumbai
  • Joined Dec 14, 2025

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  1. Parametric-VaR-Calculation Parametric-VaR-Calculation Public

    Static Parametric (Variance–Covariance) VaR model for equity portfolios using historical returns and normal distribution assumptions.

  2. Dynamic-Parametric-VaR-Calculation-Backtesting Dynamic-Parametric-VaR-Calculation-Backtesting Public

    Rolling parametric VaR model for an equity portfolio with backtesting, exception analysis, and diagnostic plots.

    Jupyter Notebook

  3. IRRBB-IS-Gap-Management-Tool IRRBB-IS-Gap-Management-Tool Public

    Interest Sensitivity (IS) Gap–based IRRBB model to analyze Net Interest Income (NII) impact under upward and downward interest rate shocks, implemented in Python with FRM-aligned methodology.

    Python

  4. IRRBB-Duration-Gap-Management-Tool IRRBB-Duration-Gap-Management-Tool Public

    Python implementation of a leverage-adjusted Duration Gap model to estimate Economic Value of Equity (EVE) sensitivity under interest rate shocks, aligned with FRM and IRRBB methodology.

    Python