Work Experience Summary
■ Front-office Trading experience in Equities, Bonds, Repos, Swaps, Futures and Options
■ Treasury and Inter-bank wholesale markets:Bank Treasury operations and the interest-rate risk associated with balance sheet management (ALM) and Economic & Regulatory Capital.
■ Specialist in Risk Frameworks and SOP'S for Financial Institutions covering Market, Counterparty Credit Risk, Operational & Technology Risk
■ Extensive Regulatory Compliance experience
■Basel III adaptation and ICAAP implementation : Advanced-IRB approaches for Credit Risk, IMA (Market Risk), AMA (Ops Risk).
Quantitative Skills Summary
My quantitative skills include
■Developing methodologies for Risk Budgeting, Economic Capital Modeling, Basel-based Regulatory Capital Adequacy models
■Interest rate modelling and Bank Balance sheet management: Vasicek, CIR, Hull-white
■Model Validation for Derivatives Pricing, VaR, Credit VaR, Liquidity-adjusted VaR, Counterparty Credit Risk Exposure, Expected Shortfall and various Stress-tests.
■ I cover a range of instruments and markets; Fixed Income, Swaps, Currencies, Commodities, Equities, Options and Futures.