Mar 2021 – Jan 2023 · 1 yr 10 mos

• Equity Structured Products Market Making
• Risk Modeling: Conceptualized and implemented a payoff-specific jump discontinuity risk metric to help hedge the steep gamma profile around observation date barriers using finite differences
• PnL Attribution: Implemented a framework to attribute realized PnL from model charges to factors like spot, theta, model parameter changes, volatility surface shifts, interest rate moves, etc.
• Correlation Calibration: Modelled the conversion of tenor-based correlation marks to imply a correlation term structure for pricing and risk calculations using Monte Carlo simulations.
• Systematic Heding Framework: Worked on creating a systematic back tester for simulating hedging methodologies to observe effectiveness over historical data for different exotic products
• Payoff Automation: Automated the pricing and booking workflow for Korea-based Equity Linked Swap resulting in a 3m GC revenue

Feb 2020 – Mar 2021 · 1 yr 1 mo

• Risk Macro Economic Strats
• Investing and Lending: Projected PPNR cash flows using statistical time series models to evaluate the behavior of Investing and Lending commitments under different economic scenarios
• Risk Framework Design: Designed components of CECL calculation using logistic default modeling

May 2019 – Aug 2019 · 3 mos · New York City Metropolitan Area

• Market Risk
• Statistical Modeling: Incorporated hierarchical clustering to model shocks for emerging market CDS spreads in adverse scenarios involving severe economic and political events

Jan 2018 – Jun 2018 · 5 mos · Bengaluru, Karnataka, India

• Developed a Python based pipeline from scratch which uses the backend Salesforce data and does statistical analyses (Hypothesis testing and t-tests) to determine the effectiveness of various sales campaigns, and provides a comprehensive report.
• Used logistic regression, decision trees, random forests and tflearn neural networks (academic interest) to model the sales campaigns results.
• Developed automated unit-testing modules using pytest and mock objects in Python to provide a first level check for any code breakage in pre-commit runs during the addition of new code to ensure back compatibility
• Developed Python based automation plugins for the in-house engineering tool "Resource Deployment Manager" which takes care of assigning hardware and testing functionalities to the engineers for testing.

May 2017 – Jul 2017 · 2 mos · Bengaluru, Karnataka, India

• Analyzed several alpha trading strategies (Opening Gaps, Beta Hedging, Long Short Equity) on Indian NIFTY-50 futures market using a self developed pipeline for analyzing the performance of trading strategies.
• Studied and analyzed the dynamics of gaps in the costs of financial instruments to use it as a signal for trading and designing profitable alpha trading strategies.
• Analyzed desirable properties of a price gap and formulate ways to model these properties numerically.
• Performed analysis of the trades based on our designed filters and further used Machine Learning techniques like ensembles to boost performance.
• Improved alpha gap strategy’s gain from 6 bp to 33 bp.

May 2016 – Jul 2016 · 2 mos · Greater Boston

• Worked on a computational biology project using data mining, statistical analysis and data visualization techniques.
• Based on modelling the kinetics of "Transcription Termination" by statistically analyzing the number of RNA sequence reads obtained in experimental datasets of high throughput RNA sequencing data from Drosophila genome at different time points using Python and genome arithmetic library Bedtools.
• Plotted the obtained RNA sequence read data using R.
• Verified from the graphs that RNA Polymerase stays on the DNA even after transcription termination site is passed.
• Obtained several graphs representing progression of transcription rate with time based on the number of RNA sequencing reads in Drosophila for different sets of genes.