Saurav Kumar, Cqf Email & Phone Number

Counterparty Credit Model Risk Management - Model Development, Model Validation, Model Performance Testing, Backtesting ,Stress Testing using the Quant Risk Management Framework; Application of Machine Learning Technique in areas of model performance tuning, outlier detection.Working on the use cases of AI.• Provided the leadership on model development, model validation and model review including model limitation. • Provided the leadership on managing and grooming talent in the… Show more Counterparty Credit Model Risk Management - Model Development, Model Validation, Model Performance Testing, Backtesting ,Stress Testing using the Quant Risk Management Framework; Application of Machine Learning Technique in areas of model performance tuning, outlier detection.Working on the use cases of AI.• Provided the leadership on model development, model validation and model review including model limitation. • Provided the leadership on managing and grooming talent in the team with both micro level training set and macro level strategic view. • Building quantitatively monte carlo simulation engine for portfolios covering both derivatives and SFT trades. • Usage of BigData and Parallelization of the algorithm to implement the model challenge framework and getting the estimate of model limitation impact. Show less

Gurgaon, India

Market Risk Model Management- VAR Model, RNIV, SVAR, IRC, CVA.• Designed the framework for advanced backtesting of the VaR model.• Designed the model limitation test cases for IRC model.• Started on the people management part , leading a team of five people.Counterparty Credit Model Risk Management - Model Validation, Backtesting.• Designed model limitation test cases for counterparty credit risk model.• Backtesting and model performance review of the… Show more Market Risk Model Management- VAR Model, RNIV, SVAR, IRC, CVA.• Designed the framework for advanced backtesting of the VaR model.• Designed the model limitation test cases for IRC model.• Started on the people management part , leading a team of five people.Counterparty Credit Model Risk Management - Model Validation, Backtesting.• Designed model limitation test cases for counterparty credit risk model.• Backtesting and model performance review of the counterparty credit risk model (risk metric) for portfolio consisting of derivatives trades.• Validation of the backtesting methodology for the counterparty credit risk model. Show less

• Potential exposure profile generation to estimate counterparty credit risk for counterparty trades in different asset class FX, FID, Commodity, CRD.• Maximum Potential exposure calculation to estimate counterparty credit risk for structured counterparty trades in different asset class (FX, FID, Commodity, CRD) for live trades.• Development of spreadsheet tools to calculate the potential exposure for complex trades which can not be supported by the in-house developed… Show more • Potential exposure profile generation to estimate counterparty credit risk for counterparty trades in different asset class FX, FID, Commodity, CRD.• Maximum Potential exposure calculation to estimate counterparty credit risk for structured counterparty trades in different asset class (FX, FID, Commodity, CRD) for live trades.• Development of spreadsheet tools to calculate the potential exposure for complex trades which can not be supported by the in-house developed tools.• Development and improvement of the models for calculation of potential exposure profile.• Developed VAR based methodology for SFT trades for india corporate bondrepo business for collaterised trades.• Backtesting of the counterparty credit risk to check the correctness of the models implemented.• Stress-Testing of the counterparty credit risk under various market scenarios like PIIGS,BULL,SMED.• CVA and EAD calculation for the nomura counterparties.• Pricing and risk management of the FX exotic options. Show less

Middle Office Trade Support for Trader and Risk Officer:• Maximum potential exposure and pricing estimation for different types of OTC Trade ( FX, Equity, Swap, FID, CRD, Commodity, Energy, Emission, Basket of equity) and VaR estimation• Working on FX and FID factor model • Creating spreadsheet to estimate maximum potential exposure for more complex trade if that can not be handle by our system• Value at Risk Computation, Stress Testing • Advanced level time series and… Show more Middle Office Trade Support for Trader and Risk Officer:• Maximum potential exposure and pricing estimation for different types of OTC Trade ( FX, Equity, Swap, FID, CRD, Commodity, Energy, Emission, Basket of equity) and VaR estimation• Working on FX and FID factor model • Creating spreadsheet to estimate maximum potential exposure for more complex trade if that can not be handle by our system• Value at Risk Computation, Stress Testing • Advanced level time series and Econometric Applications Show less

• Propensity Model to predict the online and physical retails most likely to claw back from payment service provided by one of UK based leading financial institution• Segmentation Analysis to cross sell products and attrition model identify customers at risk of attrition.• Time Series Model to assess the Impact of US Economic Growth and the Housing Crisis on Connected Life Spending by consumers for a leading supplier of networking equipments and Network management for… Show more • Propensity Model to predict the online and physical retails most likely to claw back from payment service provided by one of UK based leading financial institution• Segmentation Analysis to cross sell products and attrition model identify customers at risk of attrition.• Time Series Model to assess the Impact of US Economic Growth and the Housing Crisis on Connected Life Spending by consumers for a leading supplier of networking equipments and Network management for internet• Currency Forecast Model for a premier Independent Investment Boutique to provide Money management solution.• Econometric Time Series Drug Sales Forecast Model using Vector Auto-Regressive Moving Average with Exogenous variable (VARMAX) time series for independent channels across various countries. • Investment strategies to be used for generation of structured products, exchange traded funds and proprietary trading for a leading global investment bank. Show less

• As a Data Modeling Analyst for Telecom Company, India was responsible for developing Churn Prediction Model to identify key risk factors for preempt attrition in the retail post-paid customer segment. A Score card was developed highlighting the prime factors affecting the churn. The Model exceeded the industry benchmark performance by 60%. • As a Data Analyst for Printer Manufacturer was responsible for building 1. Univariate Time Series (ARIMA) model to forecast the sales of… Show more • As a Data Modeling Analyst for Telecom Company, India was responsible for developing Churn Prediction Model to identify key risk factors for preempt attrition in the retail post-paid customer segment. A Score card was developed highlighting the prime factors affecting the churn. The Model exceeded the industry benchmark performance by 60%. • As a Data Analyst for Printer Manufacturer was responsible for building 1. Univariate Time Series (ARIMA) model to forecast the sales of printer2. Most Valued Customers Segmentation using Factor Analysis. Show less

M.Sc., Economics

Pg Level Advanced Certification Programme In Computational Data Science, Data Science, A+

Programme focus on generative AI, Deep Learning Neural Net and Machine Learning

Doctor Of Philosophy (Phd), International Finance

Activities and Societies: Completed the Course Work Without Thesis.

Bba, Management, First Class With Distinction

Education record

M.Sc., Data Science

Executive Pg Programme In Data Science & Ai, Data Science & Ai

Master Of Science - Ms, Financial Engineering

Activities and Societies: Completed Financial Markets, Financial Data , Financial Econometrics, Derivative Pricing Module; Ongoing.