Anshul Kumar

▸ Portfolio Risk Monitoring: Oversee leveraged TRS positions and equity exposures; perform daily P&L attribution, exposure
monitoring, and sensitivity analysis to ensure positions remain within approved market risk frameworks, counterparty limits, and
risk appetite thresholds.
▸ Liquidity Stress Testing: Conduct regular liquidity stress testing and cash-flow forecasting, assessing the firms ability to meet
obligations under stressed market conditions; support capital, counterparty, and funding-risk management within ALM and CBUAE
regulatory standards.
▸ Balance Sheet & Funding Optimization: Manage repo funding to meet daily liquidity and collateral requirements; optimize
balance sheet efficiency and cost of funds by actively managing collateral allocation and funding mix across counterparties.
▸ VaR & Exposure Analytics: Run VaR and exposure analytics across the portfolio to quantify market risk; monitor intraday and
end-of-day positions against limits, escalating breaches and anomalies to senior management with structured observations and
recommended actions.
▸ MIS & Stakeholder Reporting: Prepare concise risk and MIS reports for senior stakeholders covering exposure, liquidity, and
funding metrics; coordinate with Research and Front Office to ensure portfolio decisions align with cash availability and risk limits.
▸ Trade Execution: Execute equity trades on behalf of research-driven portfolios, coordinating with the Research team while
ensuring alignment with cash availability, risk limits, and counterparty credit constraints.

▸ FRTB IMA - IMCC Implementation: Led business analysis and implementation of IMCC (Incremental Modelled Capital Charge)
as part of the FRTB IMA capital charge framework — reviewing and documenting calculation methodology, challenging model
logic end-to-end, validating outputs against regulatory standards, and coordinating with technology and risk teams to ensure
correct implementation.
▸ Interest Rate Curve Benchmarking: Benchmarked single and dual interest rate curves against Bloomberg across multiple tenor
points; identified, quantified, and documented discrepancies between model outputs and market benchmarks, producing
structured findings reports with clear recommendations for model owners.
▸ Option Pricing: Priced vanilla European options using Partial Differential Equations (PDE), Monte Carlo simulation, and closed
form analytical (Black-Scholes) methods in Python; cross-validated outputs across all three methodologies to assess model
accuracy, consistency, and robustness.
▸ Model Stress & Performance Testing: Conducted comprehensive performance and stress testing for capital and pricing models
across multiple market scenarios — including parallel rate shifts, curve steepening/flattening, and volatility shocks — assessing
accuracy, stability, and computational efficiency of model outputs under adverse conditions.
▸ Process Automation: Built Python-based tools to automate model benchmarking workflows and reporting outputs, significantly
reducing manual processing time and improving consistency, traceability, and auditability of analytical deliverables.

▸ Liquidity Risk Framework Review: Reviewed and assessed end-to-end liquidity risk management frameworks for banking
clients — evaluating control adequacy, IRBBB integration, stress testing methodologies, contingency funding plans, and policy
documentation against CBUAE regulatory expectations and Basel III/IV standards; produced detailed findings reports with
prioritized remediation recommendations.
▸ Liquidity Risk Framework Implementation: Implemented a full liquidity risk management framework for a banking client
including IRBBB integration, stress scenario design, policy and SOP development, diversified funding strategy, and contingency
funding plan; ensured all documentation was audit-ready and aligned with regulatory requirements.
▸ Pricing Model Benchmarking: Benchmarked Calypso pricing model outputs for IRS, Cross Currency Swaps, FX forwards, and
vanilla derivatives using Python; identified model control gaps, documented structured findings, and agreed management action
plans and remediation timelines with client senior stakeholders.
▸ Interest Rate Simulation & Counterparty Risk: Simulated interest rate curves at future time steps using Monte Carlo and
historical simulation; integrated outputs into pricing models to compute Potential Future Exposure (PFE) and Expected Exposure
(EE) for counterparty credit risk monitoring and regulatory capital planning.
▸ CVA / DVA Calculation: Calculated Credit Value Adjustment (CVA) and Debit Value Adjustment (DVA) by deriving probability of
default (PD) values from CDS curves using the hazard rate method; validated CVA/DVA model governance documentation and
assessed alignment with counterparty credit risk capital requirements.
▸ VaR & Expected Shortfall Modelling: Developed VaR and Expected Shortfall (ES) models for market risk capital quantification
using historical simulation and parametric methods; reviewed model governance documentation, stress testing results, and
methodology assumptions — recommending enhancements to improve capital optimization and control effectiveness.
▸ Governance & Stakeholder Engagement: Engaged regularly with senior client stakeholders to present review findings,
challenge risk self-assessments, agree management action plans, and monitor remediation progress — supporting governance
and control improvement across treasury, risk, and finance functions.

▸ Fixed Income Portfolio Risk Analysis: Performed risk analysis across fixed income portfolios covering performance
measurement, duration, convexity, credit spread sensitivity, and interest rate risk; maintained ongoing monitoring of portfolio risk
metrics against approved investment guidelines and escalated limit breaches to senior management.
▸ Scenario & Stress Testing: Conducted scenario analysis and stress testing to evaluate portfolio performance under adverse
rate, spread, and liquidity environments; identified potential market impacts and contributed observations to portfolio management
discussions.
▸ Portfolio Performance Reporting: Prepared structured portfolio performance and risk reports for senior management and
investment committees; collaborated with investment teams to provide analytical insights on interest rate movements, credit
spreads, and macroeconomic factors influencing fixed income markets.

▸ Portfolio Risk Analysis: Performed portfolio risk analysis covering interest rate risk, future investment risk, and liquidity risk;
contributed to periodic risk and governance reporting across the investment and ALM functions.
▸ Reporting Automation: Automated MIS and risk reporting workflows using Excel macros, reducing reporting turnaround time by
2 days and improving data accuracy, consistency, and reliability across the risk reporting function.