Prashant Shanbhag Email & Phone Number

Mumbai, Maharashtra, India

Part of the Market, IRRBB & Liquidity Risk team at DBS Bank India Ltd, leading a team of 5 members in Liquidity & IRRBB risk.Responsible for regulatory submission of LCR, NSFR, SLS & IRS from the Liquidity Risk area. Periodic reporting for IRRBB EVE and NII Variability.Conduct periodic stress tests for both Liquidity risk & IRRBB. Policy formulation for Liquidity & IRRBB risks.

Mumbai Area, India

Management and Monitoring of Market & Liquidity Risk. • Policy Formulation• Framing of Market Risk Management & Model Validation policies as per applicable guidelines.• Provide Market risk inputs in the framing of Risk Appetite, Stress Testing and other central policies. • Handling annual review of market risk limits.• Risk Monitoring• Analysing the positions taken by the Treasury and the market risks associated with it. Monitoring market risk sensitivities - IR PV01, FX Delta and other Greeks, Stop Loss triggers, Expected Shortfall/ VAR.• Analysing back-testing breaches and providing p&l attribution for the same. • New product validation for correct valuation and risk capture.• Performing Stress Testing of the Treasury positions in line with both local regulatory and group norms. • Computation of Market Risk Capital Charge for DBIL, RNCIV (Risk Not Captured in VAR)• New product validation for correct valuation and risk capture.• Risk Reporting• Periodic reporting of risk positions to senior management via daily risk reports, limit utilisation information as well as to the management committees (MLRC, Risk Exco etc)• Submission of various market risk reports to the regulator – Risk Based Supervision (RBS) Tranches, DSB returns – SLS and DGAP/TGAP, RCA III. • Automating market & liquidity risk activities and regulatory submissions. • Handling regulatory, group and internal audit requirements, queries & issues raised by various departments and resolving it in a timely manner• RBI’s ADF system replacement• SPOC for all Market & Liquidity Risk team for the regulator’s reports like RCA III, SLS, IRS, Market Risk Capital Charge, LCR etc.• Writing User Stories, grooming and validation of test results under AGILE methodology.

Mumbai

• Treasury Product/ Strategy Approver:o Responsible for correct valuation flow, risk capture and reporting of treasury products. Part of the team implementing new Treasury & Risk System.o Develop key risk indicators and provide timely risk updates to the Risk Committee.o Analysed the risk (market, liquidity & concentration) across different products and strategies in the fixed income and forex portfolios across domestic and international markets for Risk Approval. Co-ordinate with multiple supporting business units like Compliance, Legal & Governance on the approval for different products. o Computed the Prudential Valuation Reserve on Bid-Offer and Independent Price Verification for all products.o ALM Review for GOI/ Equity - Analysed the security-wise daily turnover over a 6-month period to determine defeasance/ time to sell.• Global Risk Group:o Part of the Independent Central Risk approval team for identification, approval and monitoring of various risk limits for Treasury Management BU. o Reporting of compliance to risk measures for different business units in the areas of Fixed Income, Currency and Equity Markets.o Perform periodic and/or ad-hoc analysis to give management results of stress in expectation of major market events e.g. RBI Policy announcements, Brexit etc.

Mumbai

Part of the Market Risk function within the Product Control team handling market risk reporting and valuation control.• Off Market Rate Check for FI, FX and Options• Fair Value Adjustment reserves including that for Bid-Offer and Prudential Value Adjustments for risks covering Concentration & Market Data Uncertainty; • Mark To Market of derivative contracts sent to clients at periodic intervals; • Benchmark Submission Analysis: Suitability review for Bank’s submissions towards benchmark fixing for FEDAI/ RBI USDINR Spot & Option Vols and for NSE MIBID/MIBOR; • Independent Price Verification, Vega & Smile Reserves for Options; • Day End Revaluation of all of FI, Money Market and FX products as per policy.

Mumbai Area, India

Management of Market Risk for Treasury for the Fixed Income, Derivatives and Forex portfolios.• Designed & implemented an automated report to compute the PV01 of the Trading and the Banking Book to present management with an early estimate of the impact of a policy announcement on the P&L of the portfolios.• Analysis of the Fixed Income Portfolio, identification of key drivers behind P&L movement. • Designed automated reports to compute P&L of the Derivatives portfolio of the Bank, including IRS linked to the MIBOR, LIBOR, and MIFOR and Options and of the Fixed Income portfolio to indicate exposures in terms of P&L, sensitivity (PV01), concentration risk and adherence to limits.• Analysed State Government Bonds to arrive at the spread over the GOI Bonds for their pricing Reports/ MIS• Management MIS for Bank’s Treasury portfolio. • Risk limit management, monitoring & various Risk Limits Stop Loss Triggers, Sensitivity Limits (PV01, Modified Duration, Option Greeks).• Off Market Rate Scan of G-Sec trades, Intra-day FX Open Position• Periodic Management MIS on limit breach logs, traded positions and key risk indicators • Day-end Valuation for Option Volatilities, FIMMDA and Corporate Bond pricing.

In-charge of the Derivatives' desk in the Market Risk Management Department at the State Bank of India.

Functional expert for the design of a tool to be used for measurement of inter-project performance. Carried out Requirement Analysis and created Design documents for the same. Carried out an Impact Analysis of an enhancement in the Inventory Management Costs system used at its client side.

Mumbai

Part of the team handling management of HP's NSK (Non-Stop Kernel) mainframe system.