Market Risk Quant Lab: VaR, ES & FRTB with Amit Kumar Jha

Build a complete market-risk workflow — from daily P&L and VaR through statistical backtesting to FRTB desk eligibility and capital — using 20 years of real rates and FX data.

What you get:

• 141-page playbook across 19 modules

• 64 interview Q&As

• 3 executed real-data projects

• 20 years of rates & FX data (2005–2026)

• 4,919-day walk-forward VaR backtest

• Kupiec, Christoffersen & traffic-light diagnostics

• FX-options full revaluation, stress testing and P&L explain

• FRTB SA vs IMA across five desks: RFET, PLA, liquidity horizons, IMCC & SES

• Reusable Python library, regression tests, CSV outputs and methodology notes

Projects:

1) Rates & FX desk VaR/ES production

2) FX options desk full revaluation + historical/reverse stress

3) FRTB SA vs IMA capital comparison for five desks

Best for aspiring market-risk quants, model-validation analysts, risk managers, quant developers and candidates preparing for bank market-risk interviews.

Educational use only; not an approved internal model or regulatory capital calculator.