MSc Quantitative Finance | Financial Econometrics · Corporate Valuation · Risk Modeling
| Project | Method | Key Result |
|---|---|---|
| Volatility Spillover Analysis | Diebold-Yilmaz, VAR | VIX & S&P500 are dominant shock transmitters to NIFTY50; connectedness spikes 3× during crises |
| Cost of Capital — ORLEN Group | CAPM, WACC | Full WACC model on a €30B+ energy major using FY2024 consolidated financials |
| DCF Firm Valuation | DCF, FCFF | 5-year FCFF forecast with terminal value and sensitivity analysis on WACC × growth rate |
| Financial Statement Analysis — LMT | CFA Framework, DuPont | Profitability, solvency, and efficiency deep-dive on the world's largest defense contractor |
Financial Econometrics Time Series Analysis VAR Modeling Volatility Spillovers
CAPM WACC DCF Valuation FCFF Sensitivity Analysis
Ratio Analysis DuPont Decomposition R Excel Financial Modeling
Built a dynamic connectedness model (Diebold-Yilmaz 2012) on NIFTY50, S&P500, VIX, and crude oil using 12 years of daily data (2013–2025). Identified that Indian equity markets are net receivers of global shocks, with Total Connectedness Index (TCI) spiking during all three major crises: 2015–16 commodity crash, COVID-2020, and 2022 Ukraine/Fed tightening.
Tools: R · vars · ConnectednessApproach · Rolling VAR · FEVD
Estimated WACC for ORLEN Group (PKN), one of Central Europe's largest energy companies, using CAPM for cost of equity and market-derived cost of debt, anchored to FY2024 consolidated financials.
Tools: Excel · CAPM · Beta regression · Damodaran ERP
Built a full DCF model — 5-year FCFF forecast, Gordon Growth terminal value, equity value bridge, and a two-variable sensitivity table across WACC and terminal growth rate scenarios.
Tools: Excel · DCF · FCFF · Scenario Analysis
Applied the CFA Financial Analysis Framework to Lockheed Martin (NYSE: LMT), covering DuPont decomposition of ROE, ROIC, liquidity, solvency, and efficiency ratios across multiple years.
Tools: Excel · CFA Framework · DuPont · Ratio Analysis
MSc Quantitative Finance — Semester 3