May 2022 – Present · 3 yrs 10 mos

• The GS Systematic Trading Strategy operates as a worldwide platform within the Global Banking and Markets (Public) Division. Its primary objective is to offer investment solutions that capture Liquid Risk Premia across various markets, drawing upon robust academic research like Trend Following or Systematic Volatility strategies.
• We collaborate closely with pension funds, asset managers, insurers, and wealth managers, tailoring customized solutions to fulfill their investment requirements while adhering to regulatory limitations.
• Our platform harnesses Goldman's trading risk management culture and proprietary trading IT technology to enhance our capabilities.

Dec 2020 – May 2022 · 1 yr 5 mos

• Global Lead, Market Risk VaR Backtesting, Micro Business Units
• Equities (One Delta, Derivatives, Origination)
• Credit (Global Credit Products, Origination)
• Mortgages (Mortgage Trading, Mortgage Origination)
• Global Liquidity Products
• Led team of 4 Risk Strats responsible for model performance assessment and empirical testing of market risk (VaR) models. Ensured GMD businesses maintain approval for less punitive internal model based market risk capital.
• Developed improved automation/scalability of infrastructure, and subject matter expertise of market risk factor modeling, P&L, VaR, backtesting, market risk capital regulations to develop data-driven analytics and remediation for VaR model deficiencies.
• Managing relevant stakeholders to review model performance findings as well as recommend and track model enhancements
• Responsible for relevant reporting, disclosure and data submission to regulators, senior management, risk committees

Dec 2018 – Dec 2020 · 2 yrs

• Lead, Equities BU
• SME in Equities VaR models, key contact reached out by members across divisions in the firm on questions associated with VaR models in Equities risk factors across One Delta, Derivatives, Origination businesses
• Led pan-Market Risk effort to ensure market capital waiver approvals obtained from regulators across the globe during the March 2020 COVID-19 induced market crash
• Co-lead, Goldman Asset Management Funds Backtesting team
• Successfully onboarded GSAM funds into existing VaR backtesting infrastructure

Dec 2016 – Dec 2018 · 2 yrs

• Led Market Risk VaR backtesting for Equity One Delta, Equity Derivatives, Equity Origination business units
• Actively collaborated with desk strats, P&L product controllers, Market Risk Specialists to identify and remediate risk modeling issues and optimize market risk capital held by each desk
• Worked on Early Warning Signals of poor VaR model performance identified through suite of AI/ML techniques ranging from Logistic Regression to Neural Networks
• Mentored summer interns

Jun 2016 – Dec 2016 · 6 mos

• Analyst in Market Risk Management and Analysis, with focus on Equity One Delta business.
• Improved market risk factor models by raising/resolving issues identified through empirical model
• testing and VaR backtesting

May 2015 – Jul 2015 · 2 mos · Bengaluru, Karnataka, India

• Expected Shortfall based VaR model testing