Market Risk Quant Notes & Lab — VaR, ES, Backtesting & FRTB (141 pages + 3 real-data projects)
₹1499
Use coupon code MR20 at checkout for 20% off.
About this resource
Build a complete market-risk workflow — from daily P&L and VaR through statistical backtesting to FRTB desk eligibility and capital — on 20 years of real rates and FX data. This Desk2Quant pack contains 141 pages of playbook-style notes across 19 modules (plain-English intuition, core equations, direct-proportional relationships, mnemonics, worked examples, desk scenarios and 64 interview Q&As) and a 3-project Market Risk Quant Lab built on 20 years of real Fed/Treasury rates and FX data (2005–2026).
Projects: (1) Rates & FX desk VaR/ES production with a 4,919-day walk-forward backtest of four models (Kupiec, Christoffersen, traffic lights), stressed-window search, VaR explain and what-if trades; (2) FX options desk: full revaluation vs delta-normal vs delta-gamma-vega vs grid, historical stress library (GFC, COVID, 2022, 2024 yen unwind), reverse stress test and P&L explain; (3) FRTB SA vs IMA for five desks: SBM, DRC, RRAO, RFET, PLA test, liquidity-horizon ES, IMCC, SES and the final capital comparison.
Included: notes PDF, executed Jupyter notebooks + HTML exports, reusable Python library (market, curves, instruments, risk, backtest, frtb), 14-test regression suite, output CSVs, methodology PDFs, data sources, parameter-verification table and a realism review.
Positioning: realistic educational projects with transparent simplifications; not an approved internal model or regulatory capital calculator. Launch offer: use code MR20 for 20% off.
What you get
- Instant digital delivery by email after purchase
- Written by a practising quantitative risk modeller
- Desk-focused material, not textbook theory
Delivery & refunds
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Frequently asked questions
How is Market Risk Quant Notes & Lab — VaR, ES, Backtesting & FRTB (141 pages + 3 real-data projects) delivered?
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Who is Market Risk Quant Notes & Lab — VaR, ES, Backtesting & FRTB (141 pages + 3 real-data projects) designed for?
It is designed for quantitative-finance candidates and practitioners who want desk-focused explanations, practical diagnostics and interview-ready reasoning.
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Get Market Risk Quant Notes & Lab — VaR, ES, Backtesting & FRTB (141 pages + 3 real-data projects)