Lead Business Analyst
Current• Analyzed requirements for Default Risk Charge (DRC) calculation under FRTB Standardized Approach III• Created Proof-of-concept files (POC) and Behavior Driven Development (BDD) feature files using Gherkin plugin to be used by developers for automated testing of various scenarios• Worked on adding enrichments to Non-Securitized (Equity and Credit) portfolios and Securitized Non-correlation Trading portfolios for adding more transparency to DRC calculation in Accelerator tool by Activiam vendor • Lead analysis for look-through calculation of bank’s exposure to mutual funds and indexes internal to Societe Generale bank, which lead to multi-million Euro reduction in DRC per month• Trained Risk Office analysts on how to use the DRC Cube and Accelerator, as well as the GUI that was built in-house• Assisted in trial runs for moving from monthly frequency to weekly runs of DRC certification process