Sasmita Biswal — Associate Consultant

• Risk professional with 6 years of extensive experience in Market Risk assessment, Credit Risk assessment, data modelling, documentation, model validation and risk methodology. • Validation of pricing models for Equity Derivative Instruments and Interest Rate Derivatives, Credit Default Swaps, VaR model, SIMM model, ESG Ratings & Carbon Emissions estimation models, AI/ML and Portfolio Optimization models for Tier-1 Global Investment banks. • Documentation of validation reports complying with SR 11-07 guidelines, which included review of model portfolio, conceptual soundness, data inputs and assumptions, model estimation, ongoing monitoring plan, model change management controls and production implementation. • Led end-to-end model validation for high-risk Portfolio Management models, including thorough documentation. This involved performing sanity checks, sensitivity analysis, numerical stability analysis, boundary analysis, stress test, and validating model assumptions. • Proactively identified validation-related challenges and gaps in model documentation, reported them to the stakeholders in a timely manner, managed and mentored a team of risk analysts to complete validation-related activities and submit comprehensive review reports within defined timelines. • Independent validation of market risk, credit risk and regulatory models - VaR, SVaR, Expected Shortfall, RNiV, CVaR, IFRS9, CECL. • Developed benchmark models for derivatives valuation and sensitivity analysis. • Calculation and validation of Initial Margin (SIMM) of UMR eligible trades as part of EMIR regulation. • Led the process of bank-wide transition of trades from IBOR benchmark to Overnight Rates (SOFR) and involved in the migration of trading and non-trading bank books from legacy risk systems to CPRT based risk engine to streamline calculation and reconciliation of daily risk exposures to mitigate model risk.

Stackforce AI infers this person is a Fintech risk assessment expert with strong model validation capabilities.

Location: Bangalore Urban, Karnataka, India

Experience: 8 yrs 6 mos