What i did in this program:
- Built and evaluated a SARIMA time series model to analyze and forecast future natural gas prices, incorporating seasonal patterns and visualizing forecast uncertainty using confidence intervals.
- Developed a prototype pricing model for natural gas contracts that accounts for injection/withdrawal dates and rates, maximum storage capacity, and monthly storage costs. The model simulates monthly cash flows and computes total contract value, laying the groundwork for further validation and production deployment
- Developed logistic regression and XGBoost models to estimate borrowers' probability of default (PD) and enabled expected loss (EL) calculations for credit risk management.
- Used dynamic programming to convert FICO scores into categorical data to predict defaults.
Link to this job simulation program: JPMorgan Chase & Co. Quantitative Research Job Simulation
My certificate: Quantitative Research Job Simulation Certificate - Raden Isnawan Argi Aryasatya