Bipasha Ray Email & Phone Number

Blacksburg, Va, Us

Blacksburg, Va, Us

Blacksburg, Virginia, United States

New Jersey, United States

New York, United States

Mumbai, Maharashtra, India

IBOR Transition: Assisted a leading bank in the Middle East with initial Exposure and Impact assessment and recommendation of the roadmap for transition from IBOR to other Alternate Reference Rates.Market Risk Capital Charge Calculation: Assisted the India Front Office of a leading European Investment Bank in partial automation of the tool to calculate market risk capital charge for a range of fixed income and derivatives products.

Kozhikode, Kerala, India

Taught a three academic credit course, 'Financial Institutions and Markets' to the MBA batch of 2020 at the School of Management Studies, NIT Calicut.

Pune Area, India

Migrating trading books (comprising Equity Exotic Derivative Instruments) of the Derivatives Trading desk of a leading Investment Bank in Europe from one valuation platform to another without drastic alteration of the P&L and the Greeks. With this objective, the project specifically demanded: a. Monitoring the NPVs of the trading books at Instrument, Maturity, Underlying, Currency and finally at individual trade levels after the book is migrated technically from the old system to the new. b. Validating the risk models and calculating different forms of Greeks to check the stability of the migration. c. Monitoring and analyzing the effects of different Spot and the Vol bump scenarios on the valuations.

Mumbai Area, India

Valuation of Equity Linked Structured notes (ELN)Provide fair valuation for Principal Protected Equity Linked Structured notes (ELN) issued in the Indian debt market with equity indices, individual stocks and basket of stocks as underlyings. Maintained a portfolio of over 300 structures; serving almost all major NBFCs in the Indian ELN issuance space. The project involved valuation of ELN instruments, a hybrid of a zero coupon fixed income instrument and an option with varied exotic payoffs like Barrier, Autocall, Lookback, Shout etc with: a. Setting up the structured trades by specifying the valuation models and writing payoff codes in valuation platform. b. Analyzing valuations in diverse market environments especially with different levels of underlyings, at times matching them with Greeks to test the precision and robustness of the results.Developing Equity Option Strategies ​Analyzing FnO stock price trends using Technical Analysis and generating ideas on stock specific option strategies based on the expected annualized yields on the strategy payoffs, the fair value and the price trends of the underlyings, the liquidity of the concerned instruments. Building ideas on Convergence Trading ​CRISIL Research Generating Convergence Trading or Pair Trading ideas after a continuous and disciplined market watch of the FnO stocks with use of statistical parameters like historical rolling correlation, historical price ratio between different stock pairs and trends in their volatilities.

Master Of Science - Ms, Applied Mathematics And Statistics

Doctoral Program In Management (Ph.D.), Finance

Master Of Arts (M.A.), Economics

Bachelor In Science (B.Sc.), Economics