Rahul Tickoo

Associate Consultant

Bengaluru, Karnataka, India8 yrs 11 mos experience

Most Likely To Switch

Key Highlights

Expert in Quantitative Finance with over four years of experience.
Developed advanced pricing models for FX options and reinsurance.
Strong foundation in statistical analysis and stochastic modelling.

Stackforce AI infers this person is a Fintech professional specializing in quantitative finance and risk modeling.

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Skills

Core Skills

Statistical AnalysisStochastic CalculusStochastic ModellingQuantitative FinanceOption Pricing Models

Other Skills

Black-ScholesCCircuit DesignConditional Shortfall CalculationControl Systems DesignCredit Risk CalculationCyber Loss Model developmentData AnalysisDerivativesDigital Signal ProcessorsDupire Local Volatility ModelExperience and Exposure RatingsFX DerivativesFX structured products pricingForeign Exchange (FX) Options

About

Rahul's core values are integrity and hard work. He has more than four years into Quantitative Finance domain. In which he has worked in various projects ranging from Pricing FX options & Calculation of Option Greeks for Banks to development of Loss models & Pricing models for Reinsurance. He has very good hold over Statistics and Stochastic Analysis. Key Achievements: - Development of Heston Stochastic Volatility Model and calibration of Heston model. - Development of Calculation of Option Greeks for Barrier options. - Development of Stochastic Cyber Loss Model Tool. Key Competencies: - Statistical Analysis - Stochastic Calculus - Stochastic Modelling - Machine Learning - Data Structures & Algorithms - Programming Technologies: C#, C++, JAVA, Python, VBA, R

Experience

8 yrs 11 mos

Total Experience

2 yrs 2 mos

Average Tenure

3 yrs 1 mo

Current Experience

Genpact

Quantitative Analyst| Manager

May 2023 – Present · 3 yrs 1 mo · Bengaluru, Karnataka, India · Hybrid

Wells fargo

Advance Analytics Consultant 2

Aug 2021 – Apr 2023 · 1 yr 8 mos · Bengaluru, Karnataka, India

Model Development for FX, Equity, and Commodity Asset Classes.

Swiss re

2 roles

Renewal Support

Oct 2020 – Dec 2020 · 2 mos

Analyze Market Scenario & Loss Trends in Malaysia & Indo – China Markets for Property & Casualty Reinsurance like Motor Insurance, Engineering.
Analyze Covid-19 affected markets & model the Premium Pricing for them.
Model Nat Cat Losses for Malaysia Desk to price the deals for 2021 Renewals.
To steer the Malaysia Desk portfolio & enhance the profitability.

Junior Actuary Pricing Tools

Jun 2019 – Aug 2021 · 2 yrs 2 mos

Product Owner of $4 Billion Reinsurance Pricing Tool named MAESTRO.
Leading a project team of 5 Actuarial Analysts and Developers.
Worked on development of Reinsurance Pricing model using Statistical methods and Stochastic Calculus.
Worked on the development of loss calculation using Monte Carlo Simulation methods.
Worked on development of Loss Correlation Calculation between different Loss Models using Gaussian and T-Copula.
Worked on development of Calculation of Credit Risk in Reinsuring a deal.
Worked on calculation of VaR, Conditional Shortfall and Capacity Calculations.
Worked on development Profit Commission methods.
Worked extensively on Cyber Loss Model development.
Development a methodology to calculate the Cyber Losses using Stochastic Loss methods and Logistic Regression.
Analysis of P&C Reinsurance portfolio.

Statistical methodsStochastic CalculusMonte Carlo SimulationGaussian and T-CopulaCredit Risk CalculationVaR Calculation+4

Finiq consulting pvt.ltd.

2 roles

Quantative Developer

Jun 2017 – Jun 2019 · 2 yrs · Pune

Worked on pricing of options extensively on FX options using Black-Scholes, Vanna-Volga Models for five different South-East Asian Banks.
Modelling of FX Barrier options using Monte Carlo simulations.
FX volatility Modelling.
Worked on development of Dupire Local Volatility Model for pricing of FX structured products like
FX Accumulator/Decumulator, TARF.
Worked on development of Heston Volatility Model and calibration of Heston parameters.
Worked on pricing of Fixed Coupon Notes(FCN), Accumulators.
Worked on Calculation of Option Greeks.
Worked on pricing of Dual Currency Investment product for three different South-East Asian Banks -DBS, WLB and SCB.
Worked on calculation of MTM of Dual Currency Investment product.
Worked on pricing of Interest Rates products.