I compare two models for correlated losses in a BBB bond portfolio and show where their tail-risk estimates diverge.
A minute-level crypto futures pipeline built with CoinMetrics and QuestDB, covering the schema, ingestion logic, and what it took to store 480 million candles.
A difference-in-differences test of how the Ethereum Merge changed the relationship between futures basis and volatility, with Bitcoin as the control.
Replicating a discretely monitored down-and-in barrier put with a static portfolio of European options instead of dynamic hedging.
I use the KO-PEP simulation to estimate risk, then compare its results with a simple historical backtest.
A Monte Carlo model for the Coca-Cola and Pepsi pairs trade, using Cholesky correlation for the stocks and an Ornstein-Uhlenbeck process for the spread.
