Product Manager - Market Risk

Lead Business Analyst , Market Risk Front to Back data strategy

Worked with Finance IT team to calculate Capital Requirements Regulations for MARKET RISK in compliance with EU prudential rules for banking supervision laid out in the Capital requirements Directive (CRD IV), according to the Standard Market Risk and VaR methodology. • Worked for all asset classes including Interest Rate Products like IR Swaps, Fixed Income products, Equities, Derivatives including Options and Futures.• Calculation using Value at Risk (VaR) methodology and use of Greeks (like Delta, Gamma, Vega) for options PRR calculations, and use of Duration and Convexity approach for Interest Rate Products.

Basel RWA capital requirements