Nancy V.

CEO

New York City, New York, United States14 yrs 11 mos experience

Highly Stable

Key Highlights

Led automation of risk computations at Citi
Managed teams for model back-testing at OCC
Recognized with Chairman's Award for project contributions

Stackforce AI infers this person is a FinTech expert specializing in quantitative finance and risk management.

Contact

nancy.verma@citi.com LinkedIn

Skills

Core Skills

Risk ManagementQuantitative FinanceFinancial Risk ManagementModel Back-testingQuantitative AnalyticsQuantitative Risk ManagementStress TestingModel ValidationMarket RiskPricing Methodology

Other Skills

BacktestingDerivativesDocumentationEconometricsFinancial MarketsMachine LearningOptionsProduct managerPythonRisk AnalyticsRisk methodologiesTechnicalToolsUser Stories

About

BACKGROUND: Experienced Quantitative Finance and FinTech Professional with experience and background in leading teams building libraries and systems for derivatives pricing and risk models & methodologies including Market Risk, Credit Risk, Stress-testing, Liquidity Risk and model back-testing. Hands-on Experience in design, development and back-testing of quantitative risk systems. Excellent team player with a proven ability in driving results by working with cross-functional teams. SKILLS: Risk methodologies: Basel SA-CCR, FRTB, CVA, SIMM Econometrics: GARCH, EWMA, ARIMA Machine Learning: Decision Trees, Neural Networks, Recommendation Systems Technical: JAVA, PYTHON, MATLAB, VBA, C++, R, SQL Tools: Bloomberg, Tableau, JIRA, Confluence, MS Office, Latex

Experience

Citi

Senior Vice President, Capital Forecasting & Analytics

Jan 2025 – Present · 1 yr 2 mos · New York City Metropolitan Area · Hybrid

As part of the Risk-Weighted Assets (RWA) Forecasting & Analytics Strategic Design team, I lead automation of QMMF manual end-user computations & processes to new python-based technological platforms.

Risk methodologiesPythonRisk ManagementQuantitative Finance

Occ

6 roles

Director, Financial Risk Management

Promoted

Oct 2021 – Nov 2024 · 3 yrs 1 mo

Product Manager for Intra-day Risk, Default Management, Liquidity Risk Management, Counterpart Credit Risk (Basel SA-CCR)

Financial MarketsDerivativesDocumentationUser StoriesOptionsRisk Management+1

Manager, Model Prototyping and Model Back-testing

Promoted

Oct 2020 – Sep 2021 · 11 mos

Managed a team of Quant analysts and developers responsible for building a model back-testing system for static and dynamic portfolios over historical time-periods.
Led the team in building architectural framework for the system including but not limited to – data
schemas, ETL, computational pipeline, prototyping and testing framework.

Financial MarketsProduct managerRisk AnalyticsDerivativesQuantitative AnalyticsDocumentation+4

Manager, Quantitative Risk Management

Jan 2020 – Sep 2020 · 8 mos

Led a team of 6 for successful prototype implementation, gathering developmental evidence, back-testing
and documentation of implied volatility and correlation model for SPX and VIX products

Financial MarketsDerivativesDocumentationOptionsQuantitative Risk Management

Senior Quantitative Analyst

Promoted

Dec 2018 – Dec 2019 · 1 yr

Contributed to the identification of deficiencies in the stress testing and default fund methodology as well as introduction of model enhancements through calibration, data-analysis and testing.
Led refactoring, testing and validation of stress-testing library as part of the risk system initiative to provide internal users (Model Validation, IT, and QA) with well-defined modular interfaces and improve testing at both trade and portfolio levels.

Financial MarketsDerivativesDocumentationOptionsStress TestingModel Validation

Quantitative Analyst

Promoted

Jan 2015 – Jan 2018 · 3 yrs · Chicago, IL

Performed market data analysis and implemented various pricing and risk models- Liquidation Cost, Specific Wrong-way Risk, Options Implied Volatility models.
Collaborated with cross functional teams for model validation and testing functionality of OCC’s risk systems.
Recognized with the Chairman’s Award for contributions to all phases of the project from inception to production go-live.

DerivativesDocumentationOptionsMarket Risk

Quantitative Associate

Jan 2010 – Jan 2014 · 4 yrs · Chicago, IL

Created pricing and margin methodology for new exchange-listed products including out-performance index options, treasury options, treasury futures and dividend products.
Developed detailed margin risk reports of clearing members, posting monthly statistical updates for senior management.

DerivativesDocumentationOptionsPricing Methodology