Jan 2022 – Present · 4 yrs 2 mos

• Lead the risk framework design and development for treasury securities clearing. This involved partnership within the Clearing House with various team and working with SEC for the approval.
• Lead different aspects of CME-FICC XM program within the Clearing House in partnership with various team. The program has seen the evolution with initial step for program update for HOUS accounts and then enhancement of program to CUST accounts. Lead the effort on developing risk based optimizer utility ease and optimal transfers. This involved partnership within CME Clearing, but also across CME and FICC.
• Lead the different aspects of MXN 28D TIIE transition, working closing with industry and Banxico.
• Lead the different aspects of IBOR fallback project within the Clearing House. Partnered with CME’s clients in developing a robust approach for transitioning the discounting of USD Swaps from EFFR to SOFR curve. Leading the team in analyzing on potential risk exposure and designing innovative risk solutions for cleared derivative products driven by the potential cessation of LIBOR Rate. In addition to swaps, lead the effort form risk side to design solution for futures and options transition to RFR yielding full Eurodollar franchise move over to SOFR.
• Partner with IT team in integrating the quant risk library into the production systems. Ensure the framework is scalable to evolving needs as well as future product/model changes
• Responsible for presenting and seeking approvals related to product launches as well as model performance and enhancements from internal/external committees as well as regulators. Lead the execution of regulatory deliverables related to risk management aspects
• Partner with the business team in developing and designing innovative solution to help meet the client risk management needs
• Assist in developing and enforcing the risk model and policies as set forth by regulators and Sr Management

Apr 2019 – Dec 2021 · 2 yrs 8 mos

• Researching and developing quantitative approaches related to pricing, value at risk (VaR), liquidity risk, stress testing, risk analytics for financial products including OTC Interest Rate Swaps (IRS), OTC Swaption, Listed Interest Rate Futures, Listed Interest Rate Options on Futures, OTC FX Forwards and OTC FX Options
• Leading the team of risk managers in assessing the rational for the model and ensuring the model is in line with current market practice by identifying and assessing model assumptions and limitations, supporting evidence for model choices and performing sensitivity analysis of the model to changing environment. Assessing model accuracy and performance by validating the performance against alternate model choices and model parameters by leveraging different metric including back-testing, stress testing, in sample and out of sample analysis and other statistical and empirical techniques
• Leading, executing and delivering valuation and risk management engagements by participating in all aspects of projects, from initial proposal preparation through project launch. Involved in aspects related to product scope, product design, pricing, settlements, operational workflow, risk methodologies, risk analytics, default management, client education, regulatory approval, designing and developing production risk library, deployment to production systems and rigorous testing of the model and system
• Developed an efficient optimization algorithm to help deliver unparalleled capital efficiency to all market participants by leveraging CME’s unique position of clearing OTC products and Listed Futures and Options (F&O) products. The utility suggests optimal number of F&O position to be cross margined with OTC products and is currently saving 5B+ of margin savings for CME’s client on daily basis
• Developed an automated data cleaning tool for interest rate term structure

Apr 2016 – Jun 2019 · 3 yrs 2 mos

• Worked on improvement of Risk model to accommodate cleared Option on interest rate product
• − pricing of American Style option using SABR pricing methodology with premium as an addon
• − risk model for listed options
• Enhanced the Risk model to accommodate clearing of new IRS swaps
• Leading the team to validate and analyze the production system that computes initial margin for IRS
• Working with third party vendors in ensuring the models are up to date with current market practice and seek model approval as per the guidance set forward by regulators
• Provide effective management, leadership and mentoring to team members and ensure that the team is well collaborated, engaged and cohesive
• Worked on an Implementation of SIMM model for Uncleared Margin
• Worked on SA-CCR, FRTB and other Capital Requirement models to improve product development for Clearing
• Lead the team in daily monitoring of market risk as well as potential exposure to the clearing house arising from changing market conditions as well as geo-political factors. Responsible for developing and streamlining risk reports that are presented to Sr. Management team