Vice President
Credit Suisse
مجموع سنوات الخبرة :18 years, 10 أشهر
• Heading a team of around 20 members including VP, AVP & ENO/Associates for Market Risk - Scenarios within Equity & Credit asset classes.
• Develop and manage relationships with stakeholders, business and process owners on market risk scenario identification and control assessment across Swiss, UK, APAC & US regions.
• Lead a team of co-workers with diverse skills and work experience. Provide work direction to optimize overall productivity and work quality.
• Oversee projects to improvise the data quality for market risk scenarios infrastructure including enhancements to systems and processes.
• Develop and recommend best practices for regulatory and non-regulatory Scenario P/L reporting
• Provide guidelines on Daily/ Weekly/ Quarterly market risk scenarios P/L reporting for both historical and hypothetical scenarios.
• Advise on building better reports and tools for effective event-based scenario reporting and stress testing.
• Subject matter expert for calculating the impact on banks portfolio in case of stress scenarios and provide key inputs to the onshore risk management teams as well as business
• Develop and review scenarios P/L basis full revaluation, partial revaluation and ladder-based approaches
Enforcing organization-wide risk based pricing framework (for advances) across pan-bank - levels
including at business segment, relationship manager, transaction level
Developing model and analytics for credit risk stress testing at the aggregate level of the bank;
including RBI credit stress testing
Performing bespoke concentration risk analyses for the bank to generate early warning signals
Responsible to project manage and deliver bank wide ICAAP submissions to regulator post
review by senior committees.
Preparing groundwork to provide a strategic, bank-wide view of risk management to senior
committees viz. enterprise risk and reputation risk
Contribute in being a watchdog for group risk, enterprise risk, reputation risk frameworks
including policies, procedures and monitoring for regulatory compliance
Maintaining, monitoring and enforcement of credit risk capital adequacy framework by
proactively managing database of credit rating letters, credit ratings (including rating transitions)
Lead, develop, and manage associates (four) in support of their work and career, as applicable.
Conduct training for business divisions on risk based pricing and capital conservation
Currently working on implementing concentration risk analysis in R
Managed Global Trade repository project to report derivatives for Dodd-Frank and EMIR
requirements.
Key personnel in development of business requirements based on new regulations regarding
CCPs including EMIR, CRD IV, DFA and JFSA regulations. In the course of project, the role was to
classify CCPs as Qualifying-CCP/ Non-Qualifying CCP based on different jurisdictions, feeding of
IM, VM and Default Fund for capital and risk processes. Also, it involved setting limits foe credit
risk management purposes.
Worked on EMIR (European regulations for derivatives market) as a part of change management
team for capital, risk management and margin requirements. The role involves articulating/
interpreting the regulatory requirements and assessing the gaps between current state and
required state to ensure compliance with EMIR. The scope of this project also encompasses
drafting the project plan and monitoring the execution of the project plan for implementation of
EMIR requirements across all entities governed by EMIR.
Developed a cohesive Credit manual for a leading Asian bank to streamline end to end business
and risk operations that ensure higher efficiency and business continuity. The coverage of thisManaged Global Trade repository project to report derivatives for Dodd-Frank and EMIR
requirements.
Key personnel in development of business requirements based on new regulations regarding
CCPs including EMIR, CRD IV, DFA and JFSA regulations. In the course of project, the role was to
classify CCPs as Qualifying-CCP/ Non-Qualifying CCP based on different jurisdictions, feeding of
IM, VM and Default Fund for capital and risk processes. Also, it involved setting limits foe credit
risk management purposes.
Worked on EMIR (European regulations for derivatives market) as a part of change management
team for capital, risk management and margin requirements. The role involves articulating/
interpreting the regulatory requirements and assessing the gaps between current state and
required state to ensure compliance with EMIR. The scope of this project also encompasses
drafting the project plan and monitoring the execution of the project plan for implementation of
EMIR requirements across all entities governed by EMIR.
Developed a cohesive Credit manual for a leading Asian bank to streamline end to end business
and risk operations that ensure higher efficiency and business continuity.
KPMG LLP Senior Consultant Feb 2010 Till Date
KPMG is a global network of professional firms providing Audit, Tax and Advisory services. KPMG has 140, 000 outstanding professionals working together to deliver value in 146 countries worldwide.
• Established entrenched Risk Management framework, systems and processes in banks, pension funds, FIs to enable compliance with various regulatory benchmarks, predominantly Basel II & newly introduced Basel III:
Risk Framework - Designed and implemented a comprehensive risk management framework comprising of vital elements such as risk strategy, risk appetite, policies & procedures, reporting structure, measurement tools, governance and oversight framework; to improve the organization’s ability to aggregate, manage and control risk across business units and divisions.
Risk Strategy & Risk Appetite - Overall Risk strategy & Risk Appetite formulation and articulation based on risk profiling of the organization. Limit Structural Framework based on Risk Tolerance & Risk Appetite of organization.
Risk Policies and Procedures - Developing & formulating risk policies and procedures, as blueprint for banks to adopt, for robust risk management framework like individual policies (such as Credit Risk, Market Risk, Operational Risk, Investment Risk, Liquidity Risk & ALM, Interest rate risk, Reputation risk, Legal Risk, Concentration Risk, Business Risk & Systemic Risk) or combined risk policy for pillar I & pillar II risks and their scenario analyses, Operating procedures for implementations for such risks and overall ICAAP Policy.
Capital Adequacy - to integrate the risk management with capital management cycle and business plan.
3i Infotech is a global BFSI oriented company which provides banking technology solutions to over 1500 customers in more than 50 countries across 5 continents, spanning a range of verticals.
• Responsible for managing and guiding the development of two products (viz. Basel II compliant Market Risk & ALM).
• Managed and supervised a team of 3 functional and 10 technical resources.
• Expert in translation of business requirements and global risk management practices to efficient system processes (prioritizing and strategizing the features/ modules to be added, enhanced or modified in the product) based on market dynamics, clients’ expectations and competitor analysis.
• Broad-based business experience in providing Global Functional and Quantitative support to various implementation teams across the globe.
• Effective product demonstration/presentation to potential/new buyers/clients.
• Pricing of products using Closed Form, Open Form, Monte Carlo based Simulation, Lattice and Tree based Methodologies.
• Designed and developed Basel II compliant market risk management modules for derivatives, options and exotics.
• Designed specification for market risk capital charge computation as per RBI guidelines i.e. Alternative and Portfolio wise (AFS & HFT) market risk.
• Designed the functional specification(s) for :
Multivariate regression and also incorporated the method to solve co-linearity problems.
Statistical based Behavior analysis for Core-Volatile analysis (ALM) of Deposits, Loans etc.
Portfolio optimization using simulated annealing technique.
Market risk assessment based on VaR (Value-at-risk) contribution for HS, VaR-CoVaR and Monte Carlo simulation methods.
DGVT based VaR for non-linear portfolios like options.
Assistant Manager, Research & Surveillance Clearing Corporation of India Limited www.ccilindia.com May 2006 - Jan 2008
The Clearing Corporation of India Ltd. (CCIL) has been established to improve efficiency in the transaction settlement process, insulate the financial system from shocks emanating from operations related issues, and undertake other related activities that would help to broaden and deepen the money, debt and forex markets in the country.
• Served in capacity of team head (team size of 8) for developing in-house automated integrated environment.
• Analyzing Money markets (Call/Repo/CBLO), Fixed Income Sovereign Securities markets and Foreign Exchange markets using advanced statistical procedures.
• Designed and developed a vibrant Sovereign yield curve (YTM curve), using NURBS (Non uniform rational B-spline functions) methodology on Visual Basic platform (frontend) and C platform (backend) . Improvising the yield curve for better estimation of yield/prices of the sovereign securities and T Bills.
• Designed and Implemented CCIL All Bonds Sovereign Indices (CASBI) - Total Returns Index and Principal Returns Index, to incorporate the impact of illiquid bonds not captured by the conventional liquid bond portfolio.
• Managing, reviewing and supervising the daily analysis, reporting and surveillance activities for prompt and efficient dissemination of market data.
• Conceived and designed software which integrated, optimized and automated all the internal processes and analyses in fixed income and money market - in house software development.
Software Engineer, Cisco Dedicated Facility Wipro Technology Solutions www.wipro.com May 1999 - Feb 2000
Wipro Technologies, a division of Wipro Limited (NYSE:WIT), is amongst the largest global IT services, BPO and Product Engineering companies.
• Enhancing IMA from version 1.0 to 1.1 running on ATM Network as prescribed by ATM Forum (http://www.broadband-forum.org/)
• Maintenance of IMA version 1.0 on various platforms like Catalyst 8500, LS 1010
Qualification University / College Year Score MBA Finance ICFAI, India 2006 7.93 CGPA
B.E. Computer Science IIT - Roorkee, India 1999 66.67 %