Mumbai, Maharashtra, India
As an Executive Director at JPMorgan Chase & Co., I lead the securitization and climate risk teams within QR, Mumbai, bringing over 6 years of dedicated service to the firm. With a decade of hands-on expertise in wholesale credit risk analytics and quantitative finance, I've honed my skills through previous roles at Moody’s and Finastra. My educational foundation includes a Bachelor’s of Technology from the Indian Institute of Technology (BHU), Varanasi. I complement this with the prestigious FRM (GARP) certification, validating my proficiency in financial risk management. Specializing in Probability and Statistics, Mathematical Finance, Advanced Calculus, Econometrics, VaR, RWA, Option Greeks, and Risk Analysis, I offer both conceptual and practical understanding of 'IFRS9' and 'Basel (II/III) Regulations.' My journey is characterized by a commitment to excellence and continuous learning in the dynamic field of finance.
1. Quantitative Research Team, Mumbai 2. Quantitative Finance, Capital Modeling, Securitized Products; Corporate & Investment Bank
At Moody's Analytics, I was part of Wholesale Credit Modeling team and gained following experience: 1. Developed IFRS9 forward looking term structure model for Probability of Default (PD) and Loss Given Default (LGD) for two portfolios ('Bank' and 'Corporate') and across four regions (Asia, USA, Europe and MENA) for an Italian mid size bank. Statistical Tools: Panel Data Regression, Time Series regressions Coding Language: SAS for model development, Excel VBA for developing tool for biannual model refresh. 2. Developed credit risk rating models for 4 portfolios (Banks, Corporate, Project Finance and Sovereign) for a UN based development fund. Used shadow rating approach for modeling Sovereign portfolio while for Project Finance, used Moody's 'Verification Approach' for modeling LDPs (Low Default Portfolios) Statistical Tools: Weight Optimization (Genetic Algorithm), Mapping Optimization for Calibration of PD values with Moody's Ratings Coding Language: R and Excel VBA 3. Gained detailed knowledge on Basel II/III PD and LGD Model development for regulatory capital calculation, CECL PD and LGD Model development for expected loss calculation, TTC PD to PIT PD conversion methodology, Moody's KMV Structural model development approach. 4. Gained general knowledge on CCAR stress testing and model validation methodologies.
Responsibilities: • Worked on ‘Loan IQ-FusionRisk Integration’ project for the integration of lending software product (Loan IQ) with a financial risk software product (FusionRisk). • Validated quantitative models for ‘EIR Amortization Method’ and ‘Impairments’ of financial assets as well as for IFRS9 (International Financial Reporting Standards) • Involved in designing and researching various credit risk scenarios on loans for the calculation of ‘Effective Interest Rate (EIR)’ and ‘Impairment Phases’ and doing their quantitative analyses. • Validated various modules of ‘Loan IQ’ like Asset Based Lending, Collaterals, Interest Pricings, etc.
Worked as an intern with ‘MARG’ (Multiple Action Research Group), a Non-Governmental Organisation based in Delhi, India, where my responsibility was to prepare a report on the implementation and the outcomes of the Environment Protection Act, 1986 as well as the National Green tribunal Act, 2010 in India. My work also included visiting the slums with the team and preparing reports on the legal/social problems faced by the slum dwellers.