Jun 2017 – Jun 2020 · 3 yrs · Mumbai, India

• Construct financial structure to address client’s investment, financing and liability management needs; quote price for Rates & FX derivative products and work closely with sales to pitch trading strategies; manage post trade portfolio risk
• Ownership to daily reconcile P&L and risk, handle cash funding requirement and monitor option expiry and call events, weekly produce stress scenario risk results for senior management review and publish heat maps for historic volatility
• Built aggressive pricing model for Knock Out trades with Smart Barrier Shift input to self-determine shift direction
• Removed IR risk instability in forward rates projection using time dependent constraints on interest rate vol surface
• Developed Vol Viewer tool to track implied FX volatility replacing parametric model and capturing market changes robustly

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

• Delivered 2-factor pricing model with stochastic volatility for PRDC to eliminated correlation risk between rates volatility and FX volatility; analysed model efficiency under stress testing