May 2021 – Dec 2021 · 7 mos · Singapore

Aug 2019 – Jun 2020 · 10 mos

• Reviewed credit ratings for all Indian ABS securitizations, Australian RMBS securitizations and Korean credit card securitizations
• Published timely research on a broad range of topics – performance trends for ABS in India, impact of developments in Indian financial markets on ABS securitizations.

Sep 2014 – Jul 2019 · 4 yrs 10 mos

• Reviewed credit ratings for all US RMBS 2.0 asset classes: non-performing reverse mortgages, seasoned/re-performing forward mortgages, single family rental, Prime Jumbo as well as pre-2010 US RMBS (Prime, Alt-A, Subprime)
• Collaborated on and completed analytical projects such as determination of credit neutral senior/subordinate floor for shifting interest structures, implementation of line of credit growth in the global reverse mortgage asset model
• Supervised and allocated resources for surveillance review of RMBS transactions; monitor performance trends in the RMBS sector
• Published timely research on a broad range of topics – asset specific (performance comparison across Re-performing securitization issuers), impact of regulations on reverse mortgage sector, sector trends such as foreclosure timelines for residential mortgages. Also published the 2018 credit outlook for US RMBS Sector in December 2017.
• Represented SFG in the North Atlantic Hurricane Task Force to publish and coordinate timely research on exposure to natural disasters across SFG asset classes.

Jul 2011 – Sep 2014 · 3 yrs 2 mos · Hoboken, New Jersey

• Managed a cross-functional team of developers, business analysts and testers on vLens, Vichara’s data management solution, that has been licensed by large sell-side banks and buy-side money managers. Responsibilities include managing product release, feature design, product metrics and user data analytics.
• Analyzed residential mortgage data from multiple sources like CoreLogic, eMBS, McDash etc. to determine housing market trends.
• Worked on statistical models to predict prepayment/default behavior for private label RMBS for multiple clients.
• Initiated strategic partnerships and managed on-going relations with numerous data providers.
• Developed specifications for new product features.
• Worked on pre-sales pitch and product demos for several potential clients.
• Worked closely with the marketing team to write case-studies, create brochures and other marketing material for conferences and email campaigns.
• Presented a joint webinar with HP Vertica and ZAIS Group on using vLens with Vertica with a customer testimonial from ZAIS.

Oct 2008 – May 2011 · 2 yrs 7 mos · Mumbai Metropolitan Region

• Algorithmic trading: Fine-tuned trading strategies to execute efficiently with minimum implementation shortfall for different execution urgencies using mean-variance optimization; Analyzed the Portfolio Target Strike, Implementation Shortfall, VWAP and TWAP execution algorithms with the NY Algorithmic trading group to improve strategy performance.
• Client portfolio construction and optimization: Constructed index tracking portfolios and hedges with notional 25mm to 1 billion using risk-return optimization and additional restrictions on exposure and transaction costs; Determined optimal schedules for trading portfolios using mean-variance optimization to minimize slippage from the benchmark price for different aggressiveness preferences; Analyzed historical performance (returns, cumulative returns and tracking error) of index tracking portfolios, Nomura theme baskets and client portfolios based on empirical returns.
• Dark pool analysis: Analyzed orders and executions in Nomura’s dark pool NX to determine fill rates and slippages for each participating client and improve the pool performance.
• Sales & research: Published monthly Nomura Risk Monitor describing the risk trends in the global as well as regional markets. Available on TradeSpex, Nomura’s flagship analytics toolkit.

Jul 2007 – Oct 2008 · 1 yr 3 mos · Mumbai Metropolitan Region

• Enhanced the algorithm for determining optimal trading schedules to use a normalized and a second order conic programming approach. Also extended the algorithm to constrain the beta of the portfolio in each trading bin.
• Developed a framework to analyze portfolio performance and attribute active portfolio returns to superior stock selection or superior market timing.
• Developed and tested an algorithm to determine the Credit Spread and Implied Volatility for Plain Convertibles and DECS using finite-difference pricing model.