Nairobi-born · statistics & modelling · Western University

Dhir Shah

I am Dhir — a quantitative researcher in training, vocalist, and model-builder. I care about what happens when a beautiful model meets a noisy world.

The question I keep returning to

How can we build models that remain useful when the world changes — and help people make better decisions?

01 / stochastic volatility02 / regime shifts03 / decisions out of sample
MSc Statistics (Financial Modelling) · Western · 2026

Loading journey…

01About

Where I began, what I notice

Dhir Shah

Plate 1 — Dhir Shah

Callsign
DHIR
Origin
Nairobi, Kenya
Base
London, Ontario
Now
MSc Statistics · Western
Support
Western Graduate Research Scholarship
Assist
SS2244 · Statistics for Science
Prior
HBSc Econ & Math · U of T
Instrument
Hindustani classical vocal
Heading
→ PhD, Fin. Econometrics

My first real classroom was a seat on an Emirates 777 to Ahmedabad — a solo flight, a tiny notebook, a moving map. I tracked delay against connection buffer, headwinds against ETA drift, which immigration line moved faster and why. Without the words for it, I was already modeling a noisy system into states, constraints, and choices.

That instinct became a practice — explore, experiment, enact. It was forged the hard way: my first brush with proof-based calculus was a loud signal that curiosity alone wouldn't carry me, so I kept an error log, re-proved theorems from first principles, and stayed through office hours until the notation stopped feeling like rocket science.

Finance was a "no" for a long time — I come from a family of accountants, and the finance I knew was ledgers, not decision-making under uncertainty. Taking real hits on my own investments changed that: the path dependence I lived through wasn't in the textbook, but it was in the data. Prof. Bélisle's Financial Economics was the bridge, and it left me a test I still use — if a non-quant can't act on your analysis, you haven't finished the job.

// I am not applying to check a box. I am chasing the intersections that first came into focus at 35,000 feet.

02Education

The route flown

YYZ

LEG 01

Honours Bachelor of Science

University of Toronto

Double Major: Economics & Mathematics · Minor: Statistics, with Distinction

LOGGED

Sep 2021 — Jun 2026 · conferred

Arts & Science Internship (Co-op). TA in Mathematics (MAT235Y1) and Financial Economics (ECO358H1).

Manifest — coursework

Financial EconomicsRisk ManagementMathematics of FinanceEconometricsOptimizationRegression AnalysisGame TheoryAdvanced MacroeconomicsAbstract MathematicsLinear AlgebraDifferential Equations
YXU

LEG 02

Master of Science in Statistics

Western University

Specialization: Financial Modelling

EN-ROUTE

Sep 2026 — present

Western Graduate Research Scholarship recipient. Graduate Teaching Assistant for SS2244: Statistics for Science. Studying stochastic modelling and financial econometrics with a focus on models that hold up out of sample.

Manifest — in progress

Stochastic ModellingFinancial EconometricsStatistical InferenceTime SeriesSimulation Methods
03Selected work

Work I can stand behind

“So the story changes when the order changes.”
A student's sky-high backtest — its alpha gone the moment we permuted the return dates. Overfitting, in one sentence. Every entry below is built to pass that test: intuitive enough to act on, robust enough to trust.
From Data to VaR — A simulation-based approach to portfolio riskF-01 / Quantitative Finance

From Data to VaR

A simulation-based approach to portfolio risk

Consolidated two years of market data from Google Finance to compute daily drift and volatility, then ran 10-day price evolutions to deliver a 99% VaR with 95% historical accuracy. Built a 10-day Monte Carlo VaR model for an $11.9B, 7-stock portfolio in Excel, using Cholesky decomposition in STATA to cut simulation time by 70%. Automated the multi-step simulation with correlated random draws, enabling 10,000 daily recalculations in under two minutes.

ExcelSTATAMonte CarloCholeskyVaR Modeling
View project
04Research

One research direction

My work is moving toward a broader but sharper question: how do we build statistical and financial models that remain useful when conditions change — and help people make better decisions when the stakes are real? I care about the full chain: what the model assumes, what it finds, when it fails, and whether someone can understand and act on the result.

WP-01

When models meet change

I want to understand what remains useful when economic conditions, behaviour, and the data-generating process shift. A good score on yesterday's data is only the beginning.

Regime changeFinite samplesOut of sample
WP-02

What is the model finding?

Neural networks and flexible optimizers can search spaces far larger than any person can hold in their head. I am interested in the mathematics underneath: what they find, and when flexibility becomes overfitting.

OptimizationHigh dimensionGenerative models
WP-03

An answer someone can use

The final test is not elegance alone. Can a manager, student, or institution understand the assumptions, question the output, and make a better decision when the stakes are real?

Statistical judgmentCommunicationDecisions
05Hindustani classical vocal

The other notation

Formal training gave me an ear for structure and improvisation — how a raga constrains choice but expands expression. After an OCD diagnosis, it's also how I regulate attention, and a standing reminder that every model I build ultimately serves the person using it.

Academy
Shankar Mahadevan Academy
Guru
Renuka Deshpande
Cleared
Re level · 2026
Preparing
Ga level
Focus
Khayal · Bandish · Lakshangeet
Riyaz log — recordings3 tracks

Lakshangeet

Raga Yaman

My own composition in Raga Yaman.

Tirvat

Raga Bhupali

A traditional Tirvat composition in Raga Bhupali.

Sakhi Mori Bandish

Raga Durga

A traditional bandish in Raga Durga, set to Jhaptaal.

Featured performances

Bol Do Na Zara (Cover)

My rendition of Bol Do Na Zara, originally by Armaan Malik and composed by Amaal Malik.

Watch on YouTube

Friendship Medley (Group)

A group performance dedicated to graduating friends, woven from songs about friendship.

Watch on YouTube

Shankar Mahadevan Academy Global Meet

A performance at the academy's global meet, before Shankar Mahadevan himself (from 1:47:28).

Watch on Facebook
06Contact

Establish contact

Open to research collaborations in financial econometrics and risk — a good problem, a supervisor lead, or a note on a raga. Pick any channel below and I'll fly it back.

Contact

Use the secure form