Manager – Quantitative Risk / FRTB IMA - HSBC (via Ernst & Young) - London, UK
(2023-03)
- Core contributor to the design and implementation of the bank's market risk measurement models under the Internal Model Approach, covering Equities, FX, and Rates trading books.
- Worked across the full risk model development pipeline, covering risk factor modeling, stress calibration, proxy generation, aggregation methodology development, and developer-led model testing and monitoring.
- Owned the development of the non-modellable risk factor (NMRF) component within the market risk capital model.
- Designed stress-scaling and tail-risk methodologies for NMRFs, addressing limited historical data and extreme scenarios.
- Built statistical testing and optimization approaches to enable capital-efficient aggregation of NMRFs.
- Implemented risk models in Python using modular, object-oriented design, translating models into production code.
- Designed and implemented unit and integration tests to validate model behavior in production environments.
- Presented model design and results to senior stakeholders, and partnered with Front Office, Risk Systems, and Model Validation teams to refine methodology and resolve implementation and governance challenges.
Senior Consultant, Quantitative Advisory Services - Ernst & Young - Mumbai, India
(2021-01 - 2023-03)
- Performed independent validation of pricing, market risk, and credit risk models across commodities, equity, and FX asset classes for major global investment banks.
- Led end-to-end validation of complex derivative pricing models, covering commodity structured products, variance-linked instruments, swaptions, and path-dependent options.
- Developed Python-based backtesting frameworks to validate simulated Equity and FX risk factor paths used in the computation of credit exposures under the CCAR framework.
- Evaluated calibration quality and parameter stability of stochastic volatility and term-structure models.
- Applied advanced numerical techniques — including Monte Carlo simulation, trinomial trees, moment matching, and dynamic programming — to analyze model behavior across complex payoff structures.
- Authored detailed model validation reports aligned with SR/11-7 governance standards and partnered with model owners to agree remediation actions and strengthen ongoing model monitoring.
Analyst, Valuation, Risk and Control - Credit Suisse - Pune, India
(2019-09 - 2020-05)
- Conducted independent price verification of fixed income derivatives, comparing Front Office valuations against quantitative benchmarks and market data sources.
- Covered interest rate and FX products, including swaps, caps/floors, swaptions, and FX forwards/options.
- Built a Python-based analytical tool to identify key drivers of pricing discrepancies across complex derivative products.
- Enhanced efficiency by automating spreadsheets to aid in market consensus submissions and valuation reporting.
- Supported valuation processes by preparing detailed reports on pricing impacts and key market movements.
