Arpit Srivastava

Market Risk Manager with 6 years of experience in :

1. Derivatives valuation
2. VaR Methodologies and backtesting
3. Regulatory projects : FRTB, CECL Callibration for MEFs, BCBS239, MIFID 2.
4. Calypso and Murex Testing
5. Asset class : Equities, Fixed Income, FX and Commodities.
6. Credit and Mortgage backed products.
7. BBG, Swapswire(Markitwire), JIRA board.
8. Proficient in R and Python
9 Clients : FAB, SAMA, JPMC, Credit Suisse, Nomura

Clients and Engagements
Leading Indian Bank (Treasury)
 Assisted Bank’s Treasury (FO and MO) in the upgrade of their FX trading platform Reuter’s Electronic Trading(RET).
 Validated and established the feed across K+ and Calypso to capture the risk across their FX positions.
 Setting up IR curves for major currency pairs in Calypso and validated their pricing and valuation configuration.
Leading Gulf bank
 FRTB(IMA : P&L attribution tool, Back testing of VaR)
 Validation of IMA adopted by bank using P&L attribution methodology designed by Deloitte.
 Explaining the difference between Hypothetical and Theoretical P&L of the desk by identifying the market factors of
over 48 derivative product present in portfolio.
 Comparing the data feed from Murex with the risk factors identified by Deloitte and Numerix.
 Educating the client about the product pricing methodology designed by Numerix.
Zurich based leading Investment Bank
 Co-developed and validated Credit ERC model used by the client.
 Front to back understanding of (Multi factor Merton)C-ERC model along with the supporting Asset Correlation model.
 Aggregation of IB portfolio (linear and nonlinear payoff) of client to be fed as input parameter in model.
 Validation and implementation of codes in R for the calculation PD and LGD across IB portfolio.
Indian Bank (Valuation and VaR calculation)
 Valuation (as per FIMMDA) of CP, CD, FRB, Callable bond and staggered bond in the client’s external portfolio.
 Calculation of VaR for client’s portfolio to match the methodology used by their system implementation partner.
Central Bank (Middle East)
 Assisted client to automate their FO trading platform by implementing Calypso.
 Valuation and Pricing of the fixed income and Money Market products traded by the Central Bank.
 Validation of VaR methodology used by Calypso to ensure they meet the internal approach used by bank

Equities Derivative Analyst for APAC trading desk