Parvez Alam

Experience

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  Centre for Management Studies, Jamia Millia Islamia Central University

  Feb 2016 - Aug 2016

  Research Associate

  Volatility Spillover and Integration of Selected world Stock Markets: An Analysis of contagion and Structural Breaks

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  Freelancer.com

  Feb 2021 - Oct 2022

  Quantitative Research Analyst

  Completed various projects for clients across the world. Some projects are listed below:1. Risk factor models | Fama-French 4 factor model2. The Dynamics of House Prices and Income in the UK - conducted stationarity tests to find out the long-run relationship between home prices and income. Utilized Enders-Granger method to the model assumption of non-linearity in unit root test.3. Calculated VaR on four stock portfolio using historical simulation and model building approach. Back-tested the model by calculating number of exceedance and deploying binomial distribution. 4. Melbourne airport terminals efficiency - Tested Wilcoxon signed-rank test, a non-parametric test to test the significant variation within two independent groups.5. Estimated 12 GARCH (1,1) models - best model selection utilising ruGARCH package. 6. Capital Asset Pricing Model (CAPM) - S&P 500 and 3 companies to see the effect of COVID 19 on the Beta of the companies. 7. The macroeconomic determinants of the current account balance for the United Kingdom - Bai-Perron test of structural break and VECM model.8. Analysis of National Health and Nutrition Examination Survey (NHANES) dataset on demographic and drug use for the year 2017-8 in STATA for a US client. Show less

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  The Sparks Foundation

  Mar 2021 - Mar 2021

  Data Science & Business Analytics
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  SabaFurniture

  Apr 2021 - Oct 2022

  Business Management Consultant

  I worked on a family venture.

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  CANNYBRAINS TECHNOLOGIES PRIVATE LIMITED

  Jul 2022 - Oct 2022

  Freelance Writer
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  Upwork

  Jul 2022 - Oct 2022

  Quantitative Modeler
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  KPMG India

  Oct 2022 - Mar 2024

  Executive | RC-R&C - Modelling & Valuation | Market risk

  - Credit Default Swap (CDS) pricing and VaR computation using HS.- CDS and CDX swaptions - Probability of Default modeling- Interest curve bootstrapping - USD OIS, CAD OIS, EURO OIS, CAD 330, LIBOR3M, SOFR490, OIS147 & EURO6M- Cross-Currency Bootstrapping - EURUSD and USDCAD in Excel- Tenor Basis Curve and Cheapest to Deliver Curve (CtD)- PFE & Credit Value Adjustment (CVA) pricing - IRS plain vanilla, cross-currency swap valuation & Brazilian swap- Weighted Basket & Asian Basket Option Valuation (Using GBM and Cholesky decomposition) - worked on exotic derivatives like TARF - DKI, DKO & PIVOT-EKI, Barrier Options, Shark Fin, Best of Call & Put, Accumulators, Standard Pheonix.- Memory Pheonix (discrete and continuous)- Variance SWAP valuation - Corridor Variance Swap using replication strategy and MCS- Digital Option replication using cap spread strategy. - Look back options- Digital exotic options: Double one touch & Double no touch - FX Options using Delta conversion method. - FX Options using Vanna-Volga approach.- MTM cross-currency- Valued Range Accrual, Snowball, Snowbear, Thunderball, and Stellar exotic derivatives. - SOFR Caps & Floor, SOFR SWAPTION, Bermudan Swaption, Cancelable SWAP.- Shifted SABR Calibration on Swaption vols (computed all SABR parameters). - Shifted SABR calibration using caplet stripping.- Valued Thunderball and PRDC derivatives using a decomposition strategy. - Valued Constant Maturity Swap (CMS) benchmarked using BBG.- Bootstrapping Inflation Index and valuation of zero-coupon inflation swap, ZC Inflation caps & floor, YoY inflation caps and floor both by Black and Bachilier Models in Excel. - VaR (HS) on equity, eurodollar futures, IRS, and CDS.- VaR backtesting - independence and stationarity tests. *All these products are valued in Excel- Market Risk Validation: Valuation, Benchmarking, Backtesting, and Report writing. - Worked as a member of the core team for Valuation Audit Assist Show less

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  Deloitte

  Mar 2024 - now

  Deputy Manager | Risk Advisory | Market Risk Quant 1

  Pricing model validation | Independent Model Review FRTB SA Sensitivities Implementation Review PolyPaths Cap/Floor - Black skew Model baseline validation.