Apr 2016 – Sep 2020 · 4 yrs 5 mos

Aug 2014 – Mar 2016 · 1 yr 7 mos

Jul 2013 – Sep 2014 · 1 yr 2 mos

• Modeling and Validation of Credit Risk Models of structured derivatives.
• Developing methodolgy for capturing risks not inherent in conventional VaR calculations such as Equity Volatility Skew and Convexity, Mid-Curve Volatility, Bond Future Basis, etc.
• Implementation of Basel 2.5 and Basel 3 norms within the quantitative modelling framework.
• Extensive work across various derivative - products (Equity and Interest Rate Derivatives).
• Stress Testing of Nomura's existing positions across a range of asset classes

Mar 2013 – Apr 2013 · 1 mo · Singapore

• Involved in Quantitative Analysis for the clients primarily in the Banking and Capital Markets domain
• Extensive use of quantitative techniques such as Monte Carlo Simulation for pricing and valuation of instruments such as Convertible Preferred Shares, Total Return Swaps, Asset Swaps, etc.

Mar 2011 – Aug 2012 · 1 yr 5 mos · Bengaluru, Karnataka, India

• Application of mathematical/statistical techniques to solving business problems across three different business areas – Banking, Insurance and Retail.
• Projects were in the domain of credit risk analysis, customer acquisition and retention, campaign management, online marketing (web analytics), sales projection, sales enhancement (cross-selling and up-selling) and price test analysis.
• Extensive work with econometric modeling techniques such as Linear/Logistic Regression, Survival Analysis, Principal Component Analysis, ARIMA Forecasting, Co-integration Tests, etc.