Saurabh Sinha, CFA, FRM, CQF

Director of Engineering

Gurgaon, Haryana, India15 yrs 4 mos experience

Most Likely To SwitchHighly Stable

Key Highlights

CFA and FRM qualified with first attempt success
Over 10 years of experience in risk management
Expertise in derivative valuation and quantitative finance

Stackforce AI infers this person is a Fintech expert specializing in risk management and quantitative analysis.

Contact

Skills

Core Skills

Risk ManagementQuantitative AnalysisInvestment Banking Operations

Other Skills

RAngularJsHTMLJavascriptHighchartBASEL IIICCARMarket riskDerivative valuationOTC process standardizationValuationAccountingReconciliationInvestments

About

Risk Analysis, VaR Analysis,Backtesting of Risk model,Stress Testing, Leverage Analysis, Equity, Derivatives valuation. 1. Qualified CFA (First attempt) with 10+ years of experience in credit risk, market risk , Investment banking operations with exposure in derivative processing and valuation, fund accounting valuation, cash & stock position reconciliation. 2. Qualified FRM Certification ( First attempt) and FRM Charter holder with good working exposure in platforms like R, Rshiny, Python, AngularJs, Javascript, Perl and Linux. 3. Currently working with Blackrock as Vice President. 4. Hands on experience in Multifond, Bloomberg, Pcontrol (EMS tool), SAS, SQL(Oracle). 5. Worked closely with Derivative processing and valuation team, credit risk and market risk valuation. 6. Guest faculty for Derivative, Risk Management, Quantitative Finance, Portfolio Management in (ICOFP) Management College and private institution like Kredent Academy. 7. Expertise in derivative valuation, R , Risk valuation. 8. CCAR and BASEL Accord III model implementation. summary • Tool development for Market risk factor Mapping based on Regression Analysis, Step regression Analysis. Handling end toend backend (R) and frontend(AngularJs, HTML,Javascript, Highchart) of the tool • Comprehensive Capital Analysis and Review and stress scenario projection based on a hypothetical, severely adverse macroeconomic and financial market scenario. • Capital allocation requirement model development (Beta version) based on BASEL III Accord and CCAR. • Research and knowledge development on BASEL IV accord. • Model development to handle currency exposure.

Experience

15 yrs 4 mos

Total Experience

7 yrs 1 mo

Average Tenure

15 yrs 4 mos

Current Experience

Blackrock

2 roles

Director

Promoted

Jan 2026 – Present · 4 mos

Saurabh is a Director in RQA (Risk Quantitative Analysis), specializing in risk management. He primarily focuses on designing and implementing robust risk frameworks, quantitative models, and analytical solutions that enhance an organization’s ability to identify, measure, monitor, and mitigate risks effectively.
His core responsibilities include developing scalable risk management solutions, strengthening governance and control frameworks, and enabling data-driven decision-making across risk domains. By leveraging advanced analytics and quantitative methodologies, Saurabh helps organizations improve risk resilience, regulatory compliance, and strategic risk alignment.

Vice President

Jun 2015 – Jan 2026 · 10 yrs 7 mos

Tool development for Market risk factor Mapping based on Regression Analysis, Step regression Analysis. Handling end toend backend (R) and frontend(AngularJs, HTML,Javascript, Highchart) of the tool
Comprehensive Capital Analysis and Review and stress scenario projection based on a hypothetical, severely adverse macroeconomic and financial market scenario.
Capital allocation requirement model development (Beta version) based on BASEL III Accord and CCAR.
Research and knowledge development on BASEL IV accord.
Model development to handle currency exposure.
Market risk model development (BFREE,STORM, AVAR, MVAR)
Peer Analysis of Credit risk/Credit Var models and development of a pilot process to model credit Risk. Project required analysis of PD, LGD and correlation of debt Instruments.
Writing in-house algorithm for Option valuation ( call, put, exotic options,greeks plot ) to verify against third party valuation.
Greek (delta,vega,gama, etc) plot development for PM’s.
Yield curve construction model development based on cubic splines.
Development of various derivative valuation models (perspective to capture ex-ante risk).
Conducting training for new Joiners for derivative valuation , basic VAR model and financial market structure
Conducting back test analysis on Risk number generated (Model validation)
Worked on enhancement of equity risk model (Ex-post risk models and Ex-ante risk models)

RAngularJsHTMLJavascriptHighchartBASEL III+5

Citi

Assitantmanager

Jan 2014 – May 2015 · 1 yr 4 mos · Gurgaon, India

Standardizing OTC process for OTC product (CCS, IRS, CDS, CDI and Different kind of Total Return of SWAP):-Posting, Accounting, Valuation, Accruals, Cash flow, Maturity and events.
Aligning Product control to Portfolio Accounting: - Setting up rule applicable in P-control, Knowledge sharing of the rule and its impact.
Accumulate and summarize portfolio activity from the transaction control, corporate action, transfer agency, custodians and underlying fund administrators.
Review of Financial Statements which includes Trial Balance, Income Statement, Investment Portfolio, Allocation Sheets (Investors), Fee Calculations, Finalization of GAV. Focus on documentation for tracking of NAV, Pricing, Allocations, Capital activities of hedge funds to make sure the financials are accurate.
Doing Deep Dive to align Fund Valuation and Portfolio Valuation.
Testing Hierarchical Pricing concept for Fund of Fund Structure.
Review of various types of the Accruals (Management Fees, Performance Fees, Custodian Fees, and Audit Fees etc.) in Multifond.
Communicate daily with Onshore Team and trade operations to ensure accurate trade positions
Training team on various instruments, Accounting treatment-control and Reconciliation.
Calculate and reconcile net asset value(NAV) on a monthly basis
Participate in fund launches and establish new procedures for efficient daily processing
Migrating Fund for live process. Migrating and reconciliation of data with parallel run