Model Development, FLoD Assessment, and Monitoring of Market Risk and Counterparty Credit Risk Models.

Traded Market Risk & Markets Credit/ Counterparty Credit RiskLeading Bangalore team of 8+ analysts who work closely with risk managers and leadership team across globe.

 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, Hedge Effectiveness model• Perform market data check, trade reconciliation, VaR analysis, sensitivity analysis, stress testing, scenario analysis (including CCAR as and when required), Hedge Effectiveness, Pre & Post trade analysis. • Sign-off on key risk measures (Delta, Gamma, Vega, Theta, DV01 etc) and VaR measures (Daily VaR, Stress VaR, Eco VaR) with daily highlights commentaries for leadership• Review and distribute periodic critical risk reports to risk leadership team • Built excel tool for calculation of sensitivity risk charge under FRTB Standardized Approach on a sample derivative portfolio• Valuation control and IPV for derivative portfolio. Which involved MtM monitoring, P&L attribution, and out of system modelling on Bloomberg and using Excel VBA & R• Built pricing libraries for valuation of derivative products such as IRS, CCIRS, FX-Swap, Forwards and Options for IPV & benchmarking Traded Markets Credit / Counterparty Risk• Derivative exposure aggregations, counterparty limit management, and concentration monitoring.• Counterparty exposure modelling - EPE, PFE, EE• CVA/DVA calculation model, CVA attribution• Collateral reconciliation, projection/forecasting and management.• Legal document (ISDA and CSA) management for exposure aggregation and netting. • Produce regulatory reports such as FIN 39, CVA, and Downgrade Trigger. Exposure Management• Consolidated credit exposure aggregation across treasury products, geographies and business lines.• Daily limit management and risk concentration monitoring in line with credit policy. Maintain internal counterparty rating model (PD model) and generate daily rating reports. • Support risk managers with subjective counterparty credit rating reports (using CAMELS method) for FIs