About Project

NVIDIA — Quant Risk & Valuation

A full-stack quantitative analysis of NVIDIA’s value and risk, combining GARCH(1,1) volatility modeling, Monte Carlo simulations, FCFF/DCF valuation, financial ratios, and an interactive dashboard. It delivers a clear view of the company’s intrinsic worth and investment outlook, with the complete analysis available in the PDF report.

NVIDIA — Executive OnePage Report Download PDF

Executive Summary

1) The Challenge

NVIDIA is growing at an extraordinary pace. To invest responsibly, price alone isn’t enough: we must quantify risk over the coming months and contrast that profile with the company’s intrinsic value. This case answers two critical questions:

  • Price range? P5–P95 and maximum expected loss (VaR 95%).
  • Does value hold? Whether DCF supports the current price under realistic WACC and g.

2) Approach

  1. Conditional volatility (GARCH 1,1): estimate σt and validate residuals (ACF, Ljung–Box).
  2. Monte Carlo simulation (10,000 paths): price distribution → P5/P50/P95 and VaR 95%.
  3. FCFF/DCF valuation: auditable assumptions with sensitivity to WACC ±100 bps and g ±50 bps.
  4. KPIs & BI: executive dashboard to navigate metrics and visual evidence.

3) Findings

  • P5–P95 concentrates ~90% of scenarios; skew consistent with recent volatility.
  • Risk: VaR 95% (relative) = 29.55%, aligned with historical drawdowns.
  • Value: DCF is consistent with WACC and g assumptions (range and details in the PDF).
  • Action: combine quantitative and fundamental signals for position sizing and timing.

4) Next Steps

  • Size the position using VaR 95% as a guardrail.
  • Manage expectations with the P5–P95 band (rebalancing).
  • Contrast market price vs. DCF value band before increasing or reducing exposure.

* Latest run figures. Full assumptions, robustness checks, and sensitivities in the Executive Report (PDF).

Analytical Modules

Simulation

Monte Carlo (GARCH)

Paths, median, P5–P95, VaR, and annualized volatility.

  • 10,000 paths
  • P5/P50/P95 bands
  • VaR 95%
Open
Valuation

FCFF & DCF

FCFF/FCL evolution and sensitivity to WACC (±100 bps) and g (±50 bps).

  • Auditable assumptions
  • WACC & g sensitivity
  • Comparative charts
Open
Ratios

KPIs & Benchmarking

Liquidity, profitability, and efficiency in a sector context.

  • Margins & ROIC
  • Turnover ratios
  • Comparables
Open
BI

Executive Dashboard

Integrative panel with filters and key visualizations.

  • Interactive filters
  • Operational KPIs
  • Export & share
Open

Tech Stack

R

GARCH modeling, backtesting, and diagnostics (ACF, Ljung–Box).

Python

Monte Carlo simulation, ETL, and BI helpers.

Excel

Validations, input sheets, and reconciliations.

Google Sheets

Operational source and quick collaboration.

Power BI

Executive dashboard, DAX, and publishing.

Scope & Limitations