Mithilesh Borgaonkar, Frm, Mfe Email & Phone Number

Mumbai, Maharashtra, India

- Leading the FRTB SA-MR and Market Risk (Historical and MC VaR) Product Team, enhancing the products for changing regulatory landscape as per MAR 21 BCBS and CRR2/3. - Leading the Regulatory P&L product (Actual and Hypothetical P&L a.k.a Clean and Dirty P&L) used for Backtesting VaR.

Mumbai, Maharashtra, India

SME on Market Risk models like Historical, Variance-Covariance and Monte-Carlo VaR. Thorough knowledge on computation methodologies of Hypothetical PL and Actual PL and backtesting the same against VaR computed vide different models. In-depth understanding of the Backtesting measures like Traffic Light Test and Kupiec Test.

Mumbai Area, India

Product Support for Interest Rate Derivatives, Financial Engineering, Middle Office Risk and Regulatory Risk (SA-CCR and SA-MR)

Mumbai

Financial Engineering Support:• Supporting various valuation models like Black Scholes Merton Model, Libor Market Model (BGM), Linear Gauss Markow One Factor Model. Analyzing the valuation arrived at using these models and if needed suggesting configuration change or bug fixes to the same.• Analyzing various curve construction techniques, including Simultaneous Multicurve Generation using TripleGlobal and Double Global curve generations algorithms and providing support for the… Show more Financial Engineering Support:• Supporting various valuation models like Black Scholes Merton Model, Libor Market Model (BGM), Linear Gauss Markow One Factor Model. Analyzing the valuation arrived at using these models and if needed suggesting configuration change or bug fixes to the same.• Analyzing various curve construction techniques, including Simultaneous Multicurve Generation using TripleGlobal and Double Global curve generations algorithms and providing support for the same.• Understanding the volatility surface creation using Black Vol Generator, Bachelier Model (BpVol), Shifted LogNormal model, Local Volatility Models, SVI model and Stochastic Alpha Beta Rho (SABR) Generator using different instruments like Caps, Swaptions and Strategies like Butterfly and Risk Reversal.• Lead support activity for SA-Market Risk and Counter Party Credit Risk (SA-CCR) Show less

Mumbai

Middle Office Risk Support• Supporting the Calypso 3 S Risk framework comprising of Sensitivity, Simulation and Scenario Designer. • Analyzing the single and double sided sequential and cumulative shifts to market data and its effects on a cross asset product portfolio. • Analyzing scenarios like delta slide, gamma slide, projections of theta on volatility surface and other scenarios capturing trader risk. • Client support on equity, credit, rate sensitivity by defining… Show more Middle Office Risk Support• Supporting the Calypso 3 S Risk framework comprising of Sensitivity, Simulation and Scenario Designer. • Analyzing the single and double sided sequential and cumulative shifts to market data and its effects on a cross asset product portfolio. • Analyzing scenarios like delta slide, gamma slide, projections of theta on volatility surface and other scenarios capturing trader risk. • Client support on equity, credit, rate sensitivity by defining non-parallel shifts, custom measures and pre-processing.• Supporting clients on multi dimensional simulation on market data to get the cross asset risk report.• Analyzing the effect of different market data interpolators like LogLinear, LogSpline, MonotoneConvex and its effect on risk and risk spreading.• Understanding the market data dependency tree and effect of perturbation on the portfolio.• Understanding the risk by perturbation of zero curve, basis curve and cross currency curve.Interest Rate Derivative Support• Supporting clients on various IRD products like vanilla swaps, swaptions, Caps, Floors, Collars, Cross currency swaps/swaptions, Non-Deliverable swaps etc.• Understanding the pricing of various IRD products and computation of different pricer measures like PV01, Delta, Theta and other PnL measures. Show less

New Delhi Area, India

• Actively advice customers to hedge their exposure to market risk, especially FX risk through use of Risk Management solutions and products. • Advice customers on derivatives like Forwards, Options and Swaps to manage their market risk.• Suggest the use of alternative financing routes like Interest Rate Swaps, Principle Only Swaps and Full Currency Swaps to reduce cost of borrowing and improve profitability• Provide active support to clients to meet their working capital… Show more • Actively advice customers to hedge their exposure to market risk, especially FX risk through use of Risk Management solutions and products. • Advice customers on derivatives like Forwards, Options and Swaps to manage their market risk.• Suggest the use of alternative financing routes like Interest Rate Swaps, Principle Only Swaps and Full Currency Swaps to reduce cost of borrowing and improve profitability• Provide active support to clients to meet their working capital requirement through the use of structured Trade Finance products like pre-shipment and post-shipment credit, Buyers Credit, and other trade products like Bill discounting, Documentary Credit, Bank Guarantees, working capital limits like overdraft and cash credit.• Provide Cash Management Services to clients to help them meet their cash and cheque collection/payment requirement and provide a customised MIS reports synchronized to their existing enterprise solutions. Show less

New Delhi

• Actively involved in analysis of Bond pricing and placement process, hedging strategies to reduce exposure to currency rate fluctuations, asset-liability management process and thereby suggesting measures to reduce the cost of borrowing through External Commercial Borrowing route.• Received exposure on project appraisal process of sanctioning loans to Power Projects.

Pune Area, India

• Software programming using Java and AWT framework to create tools and products and also work on Release Engineering of the same.• Actively involved in all the stages of product lifecycle, from design, development, testing, release and maintenance of “Knowledge Coach”- financial auditing software for client CCH- Wolters Kluwers.• Actively participated in driving the quality of products all the way from requirement specification to release. • Improve and extend internal tests… Show more • Software programming using Java and AWT framework to create tools and products and also work on Release Engineering of the same.• Actively involved in all the stages of product lifecycle, from design, development, testing, release and maintenance of “Knowledge Coach”- financial auditing software for client CCH- Wolters Kluwers.• Actively participated in driving the quality of products all the way from requirement specification to release. • Improve and extend internal tests frameworks and automated testing• Perform exploratory testing, Black box testing and White box testing.• Coordinate with diverse cross country team to ensure timely delivery and release of product. Show less

Mumbai

Taught Power Electronics and Telecom Communication Engineering.

Master Of Business Administration (M.B.A.), Finance And Financial Management Services

Activities and Societies: Secretary of the Operations Club

Certified Frm, Financial Risk Management, Q1

Bachelor Of Engineering (B.E.), Electrical And Electronics Engineering

Certificate Program In Applied Mathematical Finance For Engineers, Mathematical Finance/Quantitative Finance

This is course needs understanding from multidisciplinary fields involving the application of theories from financial economics, physics.