Mar 2020 – May 2021 · 1 yr 2 mos · Gurugram, Haryana, India

Jan 2019 – Jan 2020 · 1 yr · Gurgaon, Haryana, India

Nov 2016 – Dec 2018 · 2 yrs 1 mo · Mumbai, Maharashtra, India

• I manage Market Making book during India hours. I help build the entire e-Trading platform for FX. Some of the key components that I worked on are:
• Pricing Engine - This includes calculating Fair Price, generating Quotes, Skewing of Quotes, Deal Acceptance etc.
• Risk Management - This includes creating Optimisation techniques on what to hedge and what to hold.
• Signals - This includes creating signals on the basis of Liquidity, Volatility, Order Book Imbalance, Price Movements etc which helps in Pricing/Skewing/Hedging.

May 2016 – Oct 2016 · 5 mos · Mumbai, Maharashtra, India

• I was part of Markets Electronic Trading Rates team which trades on European Government bonds. Some of the models that I worked on are:
• Hit Rate Based Pricing - Pricing of bonds based on the expected hit rate for region, customer tier, size etc.
• Futures Spread Threshold - Looking at bond futures liquidity to determine the threshold
• on when to start widening the quotes and when to stop electronic trading of Euro Govt Bonds.

Jun 2013 – Mar 2016 · 2 yrs 9 mos · Bengaluru Area, India

• Created liquidity risk models that provide quantitative solutions to financial uncertainties faced by Corporate Treasury. I worked on Asset and Liability modelling of Equities, IRP, FX and Emerging Market desks. Some of the models that I worked on as part of ALM are:
• Portfolio Funding Optimization - Modelling the fastest liquidation of assets under market constraints like Average Daily Volume & Non-Convex Risk constraint such as VaR.
• Risk Ageing of Swaps - Modelling the time varying nature of risk and predicting the Margin requirement for cleared Interest Rate Swaps in future.

May 2012 – Jul 2012 · 2 mos · Zürich Area, Switzerland