Investment Analyst

Part of Counterparty risk modeling team1. Computation of Credit Value-at-Risk for Exotic Derivatives like FX Target Accumulators, Autocallable Worst of Puts, Barrier Options2. Perform counterparty risk analysis of SG Global Private Banking client’s portfolio, collateralized with the bank to obtain finance.3. Price assets present in the clients portfolio under different stressed market scenario, quantifying diversification benefits.4. Asset Coverage:Credit Derivatives: Credit Default Swaps, single name CLNs, Total return swaps, CDS Index products Equity Derivatives: Phoenix plus, Phoenix plus put leveraged, Airbag, Twin wins, Outperformers, Reverse convertibles, Eagle, Sprint.Fixed Income: Straight bonds, Convertible bonds, Non-rated structured notes, perpetual bonds, and inflation linked bonds.Funds: Equity funds, Bond funds, commodity funds, ETFs, Diversified funds, money-market funds.Equity: Common stock, preferred stock, ADRs, GDRs.5. Model Calibration

1. Developing loan valuation models using Monte Carlo simulations and Binomial decision-tree models to calculate profitability and impact of incremental loans at the portfolio level2. Integrating Moody’s KMV tools with HSBC proprietary tools to generate portfolio results and create optimization models 3. . Creating portfolio performance/migration reports to determine hedging requirements (CDS) and provide analysis for balanced Economic Capital distribution4. . Interacting with global relationship managers and guiding them in decisions of loan profitability, especially cross-selling of subsidiary products such as credit cards

1. The project was done to study the impact of the change in the accounting standards inIndia from Indian GAAP to International Financial Reporting Standard (IFRS)on the hedging strategy of ING Vysya Bank Ltd.2. Asset Liability Management (ALM) book of the bank was studied andrecommendation on hedging strategy for the current portfolio was given. This project was done under the guidance of Country Head, Market Risk ManagementDepartment, ING Vysya Bank Ltd