Jan 2022 – Apr 2022 · 3 mos

• Supervised upliftment of pricing models as per B4 regulations; Coordinated with controllers, model risk to reduce capital charges
• Worked with traders to correctly price new trades, foresee possible risks and run ad-hoc analysis for critical time-sensitive deals
• Initiated effort to optimize PnL Explanation process; Reduced the report delivery time by 5+ hours & reduced human support hours

Apr 2021 – Dec 2021 · 8 mos

• Led transition of XVA pricing models from LIBOR to Risk-Free rates (RFR) ; Liased with all stakeholders to ensure faultless transition
• Enhanced 20+ models to price under fallback logic; Implemented accurate simulation of RFR rates in the pricing engines for XVA

Jan 2020 – Apr 2021 · 1 yr 3 mos

• Collaborated across divisions to pioneer a singular risk engine for firmwide risk calculations; Oversaw the IR Risk transition. It involved communicating with all stakeholders to optimize the data flow, improve the models and enhance the risk engine which lead to huge compute savings for the firm annually.
• We designed standardized APIs for scenario definition, context generation and risk calculation to be used across firm saving a lot of human hours as well as compute hours.
• Worked jointly with Marquee to integrate the risk data in their platform and enhance the data analytics solutions for risk management which can be used both internally and externally.

Jun 2017 – Dec 2019 · 2 yrs 6 mos

• Developed and enhanced quantitative models for critical regulatory and internal risk metrics across Interest Rate Products. This included delivering critical models for VaR, stress tests and IRRBB metrics. Spearheaded the firmwide risk modeling project for IRRBB, and unified the calculation approach for 11 different businesses for EVE and NII calculation which helped in timely delivery of the metrics. Other projects included devising shocks for Inflation Skew and Volatility stress tests, developing 10year standardized IR Delta etc.

May 2016 – Jul 2016 · 2 mos · Bengaluru Area, India

• Devised novel models to classify small texts into 12 categories using training data of over 3 million documents. improved the model accuracy by 8% by using a Naive Bayes based spam filter to clean the noisy documents. Further, used combination of ML techniques and expert systems achieving average 95% precision and 99% recall. For using the model, we created APIs & deployed the model with Flask using Apache; developed dashboards in Laravel to visualize results

Jul 2015 – Jun 2017 · 1 yr 11 mos · New Delhi Area, India

• Assisted the professors by taking tutorials, creating and examining the assignments and helping the students. Was appointed as a teaching assistant for 4 consecutive semesters. ( Calculus, Introduction to Statistics, Operating Systems, Probability and Stochastic Methods )

May 2015 – Jul 2015 · 2 mos · Hyderabad Area, India

• Prototyped BIND-DNS Management in Microsoft IPAM by enabling remote CRUD operations in configuration files. It involved developing OMI Provider for enabling standardized remote management with minimal cost of integration with IPAM. Also generated parsers using yacc to read the BIND configuration files; wrote unit tests to scrutinize the functionalities.