Assistant Manager
Risk Advisory | Regulatory & Legal Support - Financial Industry Risk & Regulatory Department- Valued vanilla stock options for a leading bank in India using GARCH volatilities, Black Scholes model and Binomial Tree model. Options had a complexity of employee attrition rate, which had to be accounted for while valuing these ESOPs/RSUs. - Assisted a regulator to shift from one ratings model to a more complex model based on Excel, for their SEs (Supervised Entities). Helped the regulator design parameters to assess & rate the SEs. Also formally trained various stakeholders.- Reviewed the Risk Based Supervision (RBS) submissions made to RBI by various national and multinational banks in India comprehensively. Identified methodological & operational gaps and made recommendations to the banks to make their submissions more thorough and accurate. Advised and assisted them to automate certain elements of the process.
