VaibhavMangroliya

Quantitative Developer | Risk Modeling | AI Systems

“Exploring how mathematical models break under extreme conditions — and how to build systems that account for it.”

VaR / CVaRMonte CarloFat-Tail ModelingGARCH

Time-Series Forecasting (Risk Bounds)

Estimating uncertainty bounds via real historical distributions

Est. Volatility0.0%
Confidence
90% bounds

Professional Trajectory

Bridging the gap between mathematical theory and engineering execution.

The Journey

I am a Mathematics Master's student who loves solving tough problems, whether it's pricing options, building ML models, or extracting insights from messy data. With ~2 years in fintech, I bridge the gap between mathematical theory and practical applications.

My journey into quantitative work began during my time at the National Stock Exchange of India. While building tools like the NAV calculator, Fair Value classification system, and XBRL financial data parsers, I kept running into the math underneath — pricing logic, valuation hierarchies, risk frameworks. That hands-on exposure is what sparked the pivot toward a more quantitative career path.

Now I sit at the intersection of quantitative finance and AI, pursuing my M.Sc. at the University of Luxembourg, alongside my work at the Luxembourg Institute of Science and Technology. What drives me? Honestly, I just love solving hard problems. Give me something messy and complicated, like figuring out how to price a tricky option or stress-test a portfolio, and I'm happy.

Education

M.Sc. in Mathematics

University of Luxembourg

Mathematical Modelling & Computational Sciences

09/2024 – Present

B.E. in Electronics & Telecommunication

Vidyalankar Institute of Technology

Grade: 1.4/1

08/2018 – 05/2022

Work Experience

Intern, ENVISION Unit (LEO Observatory)

Luxembourg Institute of Science and Technology (LIST)

Apr 2026 – Present Luxembourg
  • Python-based environmental data validation, QA/QC pipelines, automated reporting.

Student Assistant, Dept. of Mathematics

University of Luxembourg

May 2025 – April 2026 Luxembourg
  • Preparation of technical documents and research materials using LaTeX.

Associate Systems Analyst

National Stock Exchange of India (NSE)

Dec 2022 – Jun 2024 Mumbai, India
  • Regulatory compliance systems (Java/Spring Boot) for 2,700+ listed companies.
  • NAV calculation tool (Python, Oracle DB) automating Fair Value hierarchy classification.
  • XBRL parsing system transforming unstructured financial data into 23-table SQL schema. 40% error reduction.

Core Risk Systems

Interactive tools for stress-testing portfolios under extreme uncertainty. Built to explore real risk modeling concepts.

Portfolio Risk Engine

Real-time VaR & CVaR with fat-tail adjustments, multi-regime stress testing, and drawdown analysis.

NORMAL MARKET
Asset Allocation
99% VaR
5.39%
10-day horizon
Expected Shortfall
7.28%
CVaR (fat-tail adj.)
σ: 12.3%
2008 Crisis
Est. Loss: -27.5%
Historical drawdown 2008
COVID Crash
Est. Loss: -20.7%
Historical drawdown 2020
Dot-Com Burst
Est. Loss: -28.0%
Historical drawdown 2000

Where Models Break

Standard models fail under extreme conditions. These visualizations demonstrate why risk engineering requires going beyond textbook assumptions.

Fat-Tail Distributions

Markets exhibit leptokurtic distributions. Standard Gaussian models dangerously underestimate extreme events.

Volatility Clustering

Large changes follow large changes. Mandelbrot's insight breaks the i.i.d. assumption.

Correlation Breakdown

Diversification vanishes during panics. All correlations → 1 when you need protection most.

Crisis Simulations

2008 & COVID: What actually happened vs what models predicted. The gap is catastrophic.

KEY INSIGHT

"The fundamental flaw of modern finance is substituting elegant but wrong mathematical assumptions for messy reality. The map is not the territory."

Gaussian Theory vs Empirical Reality

Normal Distribution
Fat-Tail (Leptokurtic)
Kurtosis excess ≈ 3.2 (markets typically 5-20)

Decision Engine

A demo showing how raw risk signals — volatility spikes, correlation breakdowns, tail triggers — can be translated into concrete portfolio actions at different stress levels.

Select Scenario

SYSTEMIC RISK SCORE15/100

1. Raw Signals

Portfolio σ:12.4%
VaR₉₉:-2.1%
Cross-ρ:0.24
Tail P:0.01
Drawdown:-3.2%
Sharpe:1.42

2. Risk Inference

Maintain current target allocations
No systemic stress detected
Rebalance frequency: quarterly

3. Execution Engine

ACTIVE
REBALANCE TO TARGET
Confidence92%

Quant Lab

Interactive mathematical tools for risk analysis. Every parameter is adjustable. Every chart updates in real time.

GBM Simulation

Geometric Brownian Motion paths under risk-neutral measure

Min Terminal
79
Max Terminal
182

Selected Systems

AI and ML models deployed as risk management tools. Each includes live interaction and multi-level explanation layers.

RISK ENGINE PREVIEW
LIVE
EQ60%
FI25%
ALT15%
Loss Distribution (Fat-Tail Adjusted)
VaR
1.86%
99% · 1-day
CVaR
2.51%
Expected Shortfall
σ PORT
12.9%
Ann. Volatility

Pricing & Greeks

Black-Scholes-Merton model visualizing Option Payoffs and Greeks.

Call Price
10.45
Put Price
5.57
Delta0.637
Gamma0.0188
Theta-0.018/d

Call Option Value vs Intrinsic

Systemic Risk & Anomaly Detection

AI-driven anomaly detection for institutional risk monitoring and systemic protocol stress identification.

Anomalies0
Live Transaction Stream

Open-SourceProjects

Deployed repositories spanning quantitative modeling, machine learning, and environmental econometrics.

VKKM Aegis

Open-source MCP server for quantitative risk management. 22 commands: Monte Carlo VaR, Black-Scholes Greeks, FinBERT sentiment analysis, crypto VaR.

PythonMCPRisk ManagementFinBERT

Finance-Informed Neural Networks (FINN)

PINN embedding Black-Scholes PDE into neural net loss function. 99.8% accuracy vs analytical, 40x faster than finite differences.

PyTorchPINNsBlack-ScholesAuto-diff

Fed Rate Hike Impact Analysis

Quantified 2022–23 Fed hiking cycle impact on Growth vs Value stocks using DiD regression, EGARCH, LSTM, and VADER sentiment.

PythonEconometricsLSTMEGARCH

Agent-Based Market Simulation

Heterogeneous agents (fundamentalists, chartists, noise traders) incorporating Geometric Brownian Motion + Heston stochastic volatility.

Monte CarloStochastic CalculusSimulation

WHAT MODELS MISS IN REAL MARKETS

1. The Volatility Spike

A shock hits the system. Normal distribution models predict this event should happen once every 10,000 years, but it happened today. Implied volatility shoots up. Market makers widen spreads to protect themselves.

2. Correlation Breaks 1

As margins get called, funds are forced to liquidate everything. Equities, bonds, gold, crypto—the diversified portfolio fails. All correlations trend rapidly toward 1.0. There is nowhere to hide.

3. Tail Losses Materialize

The extreme left tail of the distribution curve realizes itself. This is why we engineer systems for the unexpected rather than the average. Risk is not about standard deviations; it's about what happens in the tail.

CRITICAL LOSS ZONE

How I Think About Risk

Concise, high-signal principles that drive every system I build.

Risk is tail exposure, not variance

Correlation breaks under stress

Models are approximations, not truths

Extreme events dominate outcomes

System Architecture

How raw financial data is transformed into actionable risk intelligence through a 6-stage pipeline.

Market Data

Live feeds, tick data, macro indicators

Yahoo Finance, websockets

Feature Eng

Volatility, momentum, risk factors

Rolling windows, signatures

Risk Models

VaR/CVaR, Monte Carlo, GARCH

Fat-tail distributions

Decision Layer

Signal processing, regime detection

Threshold triggers

API Backend

FastAPI model serving & caching

REST, streaming RPCs

UI Engine

Interactive risk visualization

Next.js, Recharts, Framer

Professional Endorsements

What managers and academics have said about my work.

"Vaibhav consistently stood out as a sharp and dependable professional. He showed a high level of ownership in his work, often handling critical modules with minimal guidance. Beyond his technical skills, Vaibhav is a collaborative team player with a professional attitude. I confidently recommend him for roles that require strong analytical thinking and problem-solving ability."

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"Vaibhav approached mathematical challenges with a blend of intellect and methodical precision, delivering solutions of remarkable quality. He possesses remarkable analytical acumen—his ability to think critically and his strong ethics set him apart as a promising student."

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"I can attest to his exemplary work ethic, adaptability, and quick learning abilities. Vaibhav's exceptional interpersonal skills and value as a team member, combined with his ability to seamlessly integrate new knowledge, speaks volumes about his versatility."

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