Solution Advisor
Deloitte Touche Tohmatsu
Total years of experience :9 years, 3 Months
Involved in independent pricing various structured products instruments like RMBS, CMBS, ABS, CDO’s, CLO’s, Agency deals, Loans, Municipals bonds, Corporate bonds, IOs and Private placement securities
Extensively worked on CMBS B Piece valuation which was previously carried out from US
Work with valuation tools like Bloomberg, Intex, Markit, Yield Book, Capital IQ and other proprietary tools
Build our own cash flow models based on the deal documentation
Valuation and analysis of clients portfolio which includes products ranging from equities, fixed income instruments (bonds, Convertible Bonds, Callable/Puttable Bonds) to derivatives like interest rate swaps, inflation swaps, cross currency swaps, total return swaps, credit default swaps, vanilla options, barrier options (Both American and European options), Securitization/Structured Products (ABS, RMBS, CMBS, CLO & CDO)
Tailor made modelling of complex structured products using simulation
SPPI testing and classification of financial instruments as per IFRS9 standards
Reporting of fair valuation and useful insights on various risk parameters to end-clients and senior stakeholders
Providing derivatives risk advisory services for the implementation of recent regulatory changes in OTC derivatives markets like OIS discounting and reporting risk sensitivity parameters
Suggested a comprehensive hedging strategy along with relevant financially modelled data for offsetting the transactions in currency & cotton exchange market
Modelled currency futures & options (F&O) prices (USD/INR) and price range of cotton grades ( American Pima, DCH-32) using GARCH(1, 1) volatility estimation technique and Monte Carlo Simulation for Value at Risk calculations
Created a model that calculates daily VaR limit and rebalances the hedging ratio of individual exposures based on the daily movement in the price of currency pairs
Incorporating requirements of stakeholders including brand advertisers, radio channels and ad-agencies to develop latest software features in the application as directed by Business Analysts
Production of research reports from survey data stored in Tally/QE engine and presenting it in a user-friendly dashboard format in the web-application on a continuous basis
Modify existing software to correct errors, upgrade interfaces and improve performance to elevate client side experience
Academic Project [Fixed Income Securities, Tata Steel, DLF ] Credit Risk Evaluation of Corporate Bonds (Tata Steel, DLF, GMR) using Moody’s KMV Risk Monitoring Technique Calculated Distance to Default and the expected default frequency ( EDF ) of companies by analysing and forecasting cash flow Estimated the Distance to Default and Default Point by examining the liabilities of the company for precise appraisal of the credit risk probability associated with the companies under study
(Computer Science Engineering) Cochin University of Science and Technology IES Public School, Thrissur Class XII 2008 89.4 % Central Board Of Seconday Education Bhavans Gandhi Vidyashram, Kodaikanal, Tamil Nadu
Class X 2006 76.4 % Central Board Of Seconday Education