Jan 2023 – Jun 2025 · 2 yrs 5 mos

• Evaluating Value at Risk model performance via Backtesting, Sensitivity Analysis, Statistical testing, and alternate Benchmarking methodologies.
• Identifying model limitations through in-depth risk model analysis. Dissecting Back-Testing exceptions Hypothetical P&L Attribution (PLA) against (historical simulated) VaR at risk factor/ time-series level across asset classes; with Finance Control and Market Risk Managers.
• Overarching VaR Model validation via alternate modelling methodologies (volatility scaling). Assessing model assumptions, limitations, implementations, and benchmarking.
• Identifying, evaluating, and constructing controls to mitigate model risk; monitoring VaR, Stress VaR, Risk Not in VaR (RNiV), and expected Shortfall (ES).
• Pursuing Certificate in Quantitative Finance (CQF) to upskill knowledge on stochastic (Wiener) processes, Ito’s Lemma, statistics (Regression), derivative pricing with numerical methods (Binomial, Finite Difference and Monte-Carlo) and stochastic models (Ho Lee, Hull-White).
• Leading design to delivery of risk infrastructure and process optimization projects; Producing Business Requirement Documents (BRD), designing database schema (SQL), implementation (Python) and real-time visualization (Tableau dashboards).
• Presenting VaR model insights at various forums, including senior management, internal and external audit, and regional regulators.
• High quality documentation (LaTex, BitBucket) and work organization (Atlassian JIRA).
• Mentoring junior associates and developers of varying experience.

Apr 2021 – Dec 2022 · 1 yr 8 mos

• VaR Analytics and Model Performance:
• Performing VaR Backtesting across the Bank of America entities, business lines and specific portfolios. This includes evaluating the Hypothetical P&L against the relevant 1d risk measure (VaR) for all asset classes and business areas.
• ● Analysis involves validating both P&L and Risk against regulatory requirements, engaging with Product Control and Market Risk Managers to identify and resolve Backtesting exceptions/overages.
• ● Presenting VaR Backtesting breach insights to regional regulators including Model developments.
• ● Improving VaR models through updates to risk factors, time-series, system integration.
• ● Comparing underlying risk-factors driving the P&L to the standardised model to identify cause of breaches.
• ● Driving change initiatives for operational process optimisation using python and Tableau.
• ● Systemic review of internal backtesting policy for governance and control.

Aug 2020 – Mar 2021 · 7 mos

• Handling central controls for Value at Risk Back-Testing (VBT) and Volcker reporting for Global Markets.
• ● Ensure P&L explain accuracy across Global Markets (Equities, Credit, Fixed Income, FX, Commodities, etc.) via data analytics
• ● Streamlining VaR model insights and bank's capital implications for Risk Analytics.
• ● Stakeholder management across risk, finance and regulators.
• ● Business Analyst liaising with developers for system design and development.
• ● Automation lead for the team driving change initiatives for operational excellence and risk reduction.
• ● Thought leadership in Alteryx working group to decide software on-boarding by the bank.
• ● Recruited talent, mentored analysts and conducted cross team trainings.

Apr 2018 – Jul 2020 · 2 yrs 3 mos

Jan 2016 – Jan 2018 · 2 yrs · Pune Area, India

• Managed daily P&L production and financial reporting for Fixed Income Derivatives.
• Conducted market data analysis to identify pricing discrepancies and collaborated with Portfolio Managers on Independent Price Verification (IPV) remarks.
• Implemented process improvements using VBA, resulting in increased efficiency and accuracy in reconciliations and financial reporting.