Rahul Kumar, Frm Email & Phone Number

Bengaluru Area, India

Counterparty Credit Risk model backtesting & on-going monitoring

Liquidity Reporting & Analytics, FX Management

Bengaluru Area, India

Market Risk & Valuations• Developed market risk analytical tools in R such as VaR (HS, EWMA, GARCH, Monte Carlo), Yield curve construction (Splining, Nelson-Siegel), Repo Risk Calculator.• Implemented market risk sensitivity calculators for Delta, Gamma, & Vega. Built excel tool for calculation of sensitivity risk charge under FRTB Standardized Approach on a sample derivative portfolio• VaR analysis, sensitivity analysis (FX01, DV01, Key rate duration), stress testing, scenario… Show more Market Risk & Valuations• Developed market risk analytical tools in R such as VaR (HS, EWMA, GARCH, Monte Carlo), Yield curve construction (Splining, Nelson-Siegel), Repo Risk Calculator.• Implemented market risk sensitivity calculators for Delta, Gamma, & Vega. Built excel tool for calculation of sensitivity risk charge under FRTB Standardized Approach on a sample derivative portfolio• VaR analysis, sensitivity analysis (FX01, DV01, Key rate duration), stress testing, scenario analysis (including CCAR as and when required), Hedge Effectiveness, Pre & Post trade analysis, P&L attribution.• Built pricing libraries for valuation of derivative products for IPV• Valuation controls, Market data check and trade reconciliation • Assist in Fair Value accounting FAS 161, FAS 107 and FAS 157. Counterparty Credit Risk• Derivative exposure aggregations, counterparty limit management, and concentration monitoring.• Counterparty exposure modelling - EPE, PFE, EE• CVA/DVA calculation model, CVA attribution• Legal document (ISDA and CSA) management for exposure aggregation and netting. • Produce regulatory reports such as FIN 39, CVA, and Downgrade Trigger. Credit Exposure Management & Credit Research• Responsible for Credit Exposure reporting for a $100B+ Treasury portfolio of a US based global NBFC. • Worked as a functional consultant in the development of a Group and Obligor based Credit Risk reporting system including Counterparty Master Data Management, risk exposure aggregation, limit management, and reporting based on OBIEE & Excel. • Daily limit management and risk concentration monitoring in line with credit policy. Analysis of limit breaches and rating migrations for FIs and Sovereigns. • Maintain internal counterparty rating model (PD model) and generate daily rating reports. Show less

New Delhi Area, India

• Anchoring the proposal for Corporate Risk Management covering various facets like understanding the client’s hedging requirement, developing and proposing a robust solution, estimating savings, and costs based on client’s objectives.• Developed Hedge strategies in Foreign Exchange and Commodities market for more than 30 corporate clients.• Handling the fundamental currency research covering report writing, tracking macro-economic news and briefing about currency movement… Show more • Anchoring the proposal for Corporate Risk Management covering various facets like understanding the client’s hedging requirement, developing and proposing a robust solution, estimating savings, and costs based on client’s objectives.• Developed Hedge strategies in Foreign Exchange and Commodities market for more than 30 corporate clients.• Handling the fundamental currency research covering report writing, tracking macro-economic news and briefing about currency movement trends.• Advising the corporate clients on timing, tenure and Forex trends for forward cover booking through banks.• Pre-Sales activities – Preparation of client presentation, sales pitch, Hedge Framework Policy, business proposals, and other marketing materials for currency division. Show less

Pune Area, India

• The Summer Internship Project is to analyze the various short rate interest rate derivative models and to implement/run them on Octave in order to derive their pricing.• Analyzing research papers on Interest Rate derivatives to understand the underlying risk factors and code them into executable models.

Bangalore

• Worked as a module lead leading a team of 3 engineers and coordinating with teams at Infosys and client site.• Firm understanding of Software Development Life Cycle (SDLC).• Worked as an application developer for VoIP products.• Platform used: Java with DB2.• Responsibilities included:o Product enhancements and sustenance for Cisco Web dialer and Cisco Attendant Console.o Understanding the PRDs.o Preparation of high level and low level design for product… Show more • Worked as a module lead leading a team of 3 engineers and coordinating with teams at Infosys and client site.• Firm understanding of Software Development Life Cycle (SDLC).• Worked as an application developer for VoIP products.• Platform used: Java with DB2.• Responsibilities included:o Product enhancements and sustenance for Cisco Web dialer and Cisco Attendant Console.o Understanding the PRDs.o Preparation of high level and low level design for product enhancements.o Coding, preparing unit test cases and coordinating with the testing team for functional testing and system integration testing. Show less

Mba, Finance

Activities and Societies: • Completed 6 days residential workshop on “Corporate Laws and Governance” conducted by ICSI – CCGRT, Mumbai.

Be, Computer Engineering

Activities and Societies: • Designed college alumni website in final year engineering, 2004

Education record