Rajesh Gupta, Frm Email & Phone Number

India

 Developed schema for market risk charge calculation engine for Foreign Exchange and Equities portfolios under trading book of the bank following standardized approach of Fundamental Review of Trading Book (FRTB) regulation. Undertook Model validation effort under FRTB – IMA methodology as 2nd LOD by: - Performing risk factor eligibility test (REFT) as per supervisory guidelines Performing Back testing and P&L Attribution analysis for internal models Expected Shortfall and Stressed Expected Shortfall calculation as per supervisory guidelines Established Enterprise Risk Management frameworks (Risk Appetite, Risk Limits, Risk Register etc.) for firm – wide efficient and effective risk management practices for a new Digital Asset Exchange. Documented and successfully implemented Operational Risk Management Policy along with Business Continuity Management and Third-Party Risk Management for a new Digital Asset Management unit.

Bangalore

Mumbai Area, India

 Working for a large US bank as a part of their Model Risk Management Group, where my main responsibility is to validate and recommend improvement for different Basel/CCAR/Internal business (Credit/Market Risk) models as second line of defense.  In current role, my responsibilities includes assessment of different risk models on the basis of soundness of conceptual framework, completeness of data, variable selection, soundness of statistical methodology, predictive power of the model, robustness of the model and business justification.

Gurgaon, India

 Worked for different client engagements for development of statistical models, which could help them to predict future financial risk and hence they could take actions to avoid such financial risks. Also, these models helped them determine the required quantity of reserve for the Bank.

New Delhi Area, India

 Statistical Modelling for quantification of natural catastrophe risk by simulation of the footprints of the historic events using the vulnerability and hazard in order to measure the financial losses due to these catastrophic events. Assessment of the portfolio of different Insurance and Re-Insurance clients and calculate the quantum of losses under different scenario based on above models. This helped clients in calculating premium/pricing their Insurance products as well as diversification of the portfolio to keep risk levels under the desired limits.

Bangalore

Bengaluru Area, India

Supply Chain Management

Master Of Business Economics, Finance And Econometrics

B.E, Computer Science & Engineering

Education record