Senior Quantitative Market Risk Manager
Current- IR Var and FX VaR model build and implementation on Calypso ERS module-Design, build and implemention of Calypso Monte Crlo PFE solution for derivative counterparty credit risk meaurement-Implementation of Calypso SACCR module- Senior risk SME Securities Finance Calypso implementatiin - Collateral policy development to support new securities finance.