Vishal Maru Email and Phone Number

Counterparty Credit Risk Specialist Key Responsibilities:Validation and Methodology- Validated Citi Group's Counterparty Credit Risk (CCR) methodology- Assessed risk measures: Potential Future Exposure (PFE), Wrong Way Risk (WWR)Testing and Quality Assurance- Developed and executed comprehensive test strategies to identify methodology gaps- Conducted Operational Effectiveness Testing (OET) and Design Effectiveness Testing (DET)- Reported… Show more Counterparty Credit Risk Specialist Key Responsibilities:Validation and Methodology- Validated Citi Group's Counterparty Credit Risk (CCR) methodology- Assessed risk measures: Potential Future Exposure (PFE), Wrong Way Risk (WWR)Testing and Quality Assurance- Developed and executed comprehensive test strategies to identify methodology gaps- Conducted Operational Effectiveness Testing (OET) and Design Effectiveness Testing (DET)- Reported observations and concerns to Business and Methodology teamsRisk Analysis and Mitigation- Analyzed risk measures using Internal Models Method (IMM) and Standardized Approach- Identified root causes and underlying parameters driving exposure- Collaborated with stakeholders to eliminate process gaps and implement controlsControl and Compliance- Identified control deficiencies and remediated through appropriate channels- Ensured compliance with regulatory requirements*Stress Testing and Scenario Validation*- Validated stress testing and calculation of stress loss- Validated parameters: Ijtd, dispersion risk, cost to close- Validated scenarios: GSST scenario and bespoke scenariosKey Skills:- Strong understanding of CCR methodologies and regulations- Analytical and problem-solving skills- Excellent communication and collaboration skills- Experience with risk management systems and toolsKey Deliverables:- Validated CCR methodology and risk measures- Identified and mitigated risk gaps and control deficiencies- Ensured compliance with regulatory requirements- Improved overall risk management framework Show less

Risk Management & Regulatory Compliance Expertise*Key Projects & Achievements:*- Developed S&P Risk-Adjusted Capital Framework for stress scenario analysis- Calculated Capital Utilization Ratio for Credit, Market, and Operational Risk- Applied IRRBB methodology for Interest Rate risk assessment- Implemented Risk-Based Pricing for Non-Sovereign Loan Portfolio- Validated PPNR/CCAR models using qualitative and quantitative approaches- Developed and… Show more Risk Management & Regulatory Compliance Expertise*Key Projects & Achievements:*- Developed S&P Risk-Adjusted Capital Framework for stress scenario analysis- Calculated Capital Utilization Ratio for Credit, Market, and Operational Risk- Applied IRRBB methodology for Interest Rate risk assessment- Implemented Risk-Based Pricing for Non-Sovereign Loan Portfolio- Validated PPNR/CCAR models using qualitative and quantitative approaches- Developed and implemented PPNR models for revenue projection- Utilized statistical models (Bivariate, Multivariate, OLS regression) for PPNR forecasting*Basel IV Implementation & Regulatory Compliance:*- Implemented Large Exposure, Leverage Ratio, and Capital Output Floor requirements- Ensured compliance with regulatory standards*Leadership & Management:*- Managed teams of up to 70 people as Delivery Manager- Successfully managed client expectations and delivered projects- Ensured zero bad debts and provisions as Engagement Manager- Collaborated with internal and external teams for industry insights and regulatory updates*Awards & Recognition:*- Deloitte Dot of Fame Award- Move the Dot Award for exceptional client management*Risk Measures & Methodologies:*- IRRBB (Interest Rate Risk in the Banking Book)- PPNR (Pre-Provision Net Revenue)- CCAR (Comprehensive Capital Analysis and Review)- S&P Risk-Adjusted Capital Framework- Capital Utilization Ratio- Risk-Based Pricing Show less

CCR Risk Engines & Trading Book Risk TransformationKey Projects & Achievements:- Enhanced Traded Risk infrastructure through LIBOR Transition project- Assessed impact of new RFR regulatory risk measures: - Expected Exposure (EEPE) - Potential Future Exposure (PFE) - Credit Valuation Adjustment (CVA) - Expected Negative Exposure (ENE)Project Management & Coordination:- Gathered requirements from Front Office, Credit… Show more CCR Risk Engines & Trading Book Risk TransformationKey Projects & Achievements:- Enhanced Traded Risk infrastructure through LIBOR Transition project- Assessed impact of new RFR regulatory risk measures: - Expected Exposure (EEPE) - Potential Future Exposure (PFE) - Credit Valuation Adjustment (CVA) - Expected Negative Exposure (ENE)Project Management & Coordination:- Gathered requirements from Front Office, Credit Risk Limit monitoring team- Collaborated with IT for functional testing, test plan creation, UAT management, and defect tracking/resolutionRisk Assessment & Advisory:- Evaluated impact of shifting Reference Rates (RFRs) on portfolio (e.g., EONIA to ESTR)- Provided high-level summaries to senior management in working groupsRisk Measures & Methodologies:- Expected Exposure (EEPE)- Potential Future Exposure (PFE)- Credit Valuation Adjustment (CVA)- Expected Negative Exposure (ENE)- LIBOR Transition risk assessment Show less

Basel 3,IMM Model Exposure Calculations

Treasury & Capital Management Expertise- Managed Capital Adequacy reporting (RWA) and analyzed daily/monthly movements.- Ensured data quality for Exposure at Default (EAD), Risk-Weighted Assets (RWA), Probability of Default (PD), Loss Given Default (LGD), and collateral allocation under Basel III.- Prepared and submitted COREP quarterly returns to PRA regulator.- Presented monthly/quarterly results to senior management for review.- Fostered strong stakeholder… Show more Treasury & Capital Management Expertise- Managed Capital Adequacy reporting (RWA) and analyzed daily/monthly movements.- Ensured data quality for Exposure at Default (EAD), Risk-Weighted Assets (RWA), Probability of Default (PD), Loss Given Default (LGD), and collateral allocation under Basel III.- Prepared and submitted COREP quarterly returns to PRA regulator.- Presented monthly/quarterly results to senior management for review.- Fostered strong stakeholder relationships onshore/offshore, driving process excellence and resolving capital calculation queries. Show less

*Credit Risk Management Expertise**Risk Exposure Valuation*- Analyzed credit risk exposure at portfolio level across various business lines (Prime Brokerage, ETFO, Derivatives, FX, Repo, SLB)- Assessed risk from system, business, and credit risk methodologies perspectives*Capital Reporting & Regulatory Compliance*- Calculated PE/EEPE, RWA, and capital for Investment Bank's regulatory reporting (FINMA, PRA, IHC)- Provided portfolio-level… Show more *Credit Risk Management Expertise**Risk Exposure Valuation*- Analyzed credit risk exposure at portfolio level across various business lines (Prime Brokerage, ETFO, Derivatives, FX, Repo, SLB)- Assessed risk from system, business, and credit risk methodologies perspectives*Capital Reporting & Regulatory Compliance*- Calculated PE/EEPE, RWA, and capital for Investment Bank's regulatory reporting (FINMA, PRA, IHC)- Provided portfolio-level analysis for Pillar 2 ICAAP Submission, identifying key risk drivers*Risk Analysis & Ownership*- Owned PFE & EEPE outputs, analysis, and daily/monthly exposure packs- Conducted scenario exposure move analysis for capital impact assessment*Regulatory Reporting & Stress Testing*- Contributed to Pillar 1 & Pillar 3 reports, addressing regulator queries- Supported stress testing team during quarterly return filings*IMM Gaps Remediation & Advanced Analytics*- Utilized simulation tools (factor-based, sensitivity-based, Monte Carlo) for risk calculation- Remediated IMM gaps, enhancing stress testing methodology*Subject Matter Expertise & Project Leadership*- Provided risk and regulatory expertise to Front Office RWA Optimization, BMR, Credit Analytics, and CVA teams- Led projects: SEPE (Monte Carlo Simulation), SEF, SACCR, IOSCO Show less

Derivatives Pricing & Validation Expertise_Key Responsibilities:_- Priced, valued, and validated OTC derivatives across asset classes (Equity, Interest Rates, FX, Credit) for international Hedge Fund Clients.- Managed primary products: - Credit Default Swaps (CDS) - Variance Swaps - Swaptions - Equity Swaps - Interest Rate Swaps - Equity Options - FX Options - Exotic Derivative Products_Risk… Show more Derivatives Pricing & Validation Expertise_Key Responsibilities:_- Priced, valued, and validated OTC derivatives across asset classes (Equity, Interest Rates, FX, Credit) for international Hedge Fund Clients.- Managed primary products: - Credit Default Swaps (CDS) - Variance Swaps - Swaptions - Equity Swaps - Interest Rate Swaps - Equity Options - FX Options - Exotic Derivative Products_Risk Measures & Analysis:_- Validated Month-End values and prices using proprietary curves, volatility surfaces, and pricing data sheets.- Assessed impact of exotic financial products on overall portfolio.- Monitored and managed: - Market Risk (VaR, Expected Shortfall) - Credit Risk (CDS spreads) - Liquidity Risk_Technical Skills:_- Utilized third-party vendor applications (Bloomberg, Reuters) for valuations.- Proficient in Kondor/Pricers for curve uploads and OTC derivatives valuation._Client Support & Issue Resolution:_- Addressed client queries independently.- Escalated critical issues, ensuring timely resolution._Key Achievements:_- Ensured accurate valuations and pricing for complex derivatives.- Enhanced client satisfaction through timely issue resolution. Show less

_Financial Data Analysis & Reconciliation Expertise__Key Responsibilities:_- Analyzed dividends from securities and interest from fixed income securities for Mutual Funds, Fund of Funds, and Hedge Funds using sources: - FTID - Bloomberg - Thomson Reuters - Trustnet- Reconciled bank statements from Bank of New York Mellon_Risk Measures & Control:_- Ensured data accuracy and integrity to minimize financial… Show more _Financial Data Analysis & Reconciliation Expertise__Key Responsibilities:_- Analyzed dividends from securities and interest from fixed income securities for Mutual Funds, Fund of Funds, and Hedge Funds using sources: - FTID - Bloomberg - Thomson Reuters - Trustnet- Reconciled bank statements from Bank of New York Mellon_Risk Measures & Control:_- Ensured data accuracy and integrity to minimize financial risk- Identified and resolved discrepancies in dividend and interest payments- Monitored and managed: - Credit Risk (counterparty risk) - Operational Risk (reconciliation errors)_Client Support & Query Resolution:_- Addressed fund queries regarding interest and dividends- Provided timely solutions to ensure client satisfaction_Reconciliation & Compliance:_- Performed Dividend Reconciliation to ensure accuracy and compliance- Maintained up-to-date records and reports for audit purposes_Technical Skills:_- Proficient in financial data analysis tools (Bloomberg, Thomson Reuters)- Experienced in reconciliation software and processes Show less