Aditya Gupta
Gurugram
Summary
Risk Management professional specializing in market and liquidity risk, IRRBB, and quantitative model validation for financial institutions. Demonstrated success in validating pricing models, performing sensitivity and stress testing, and benchmarking against market data. Skilled in Bloomberg, Murex, Python, VBA, and SQL, with extensive experience in SLS preparation, LCR, NSFR, capital adequacy ratios, ICAAP stress testing, and liquidity risk monitoring. In-depth knowledge of Basel and RBI regulatory frameworks strengthens risk governance capabilities.
Overview
8
8
years of professional experience
Work History
Market Risk- Senior Analyst- Risk and Compliance
Evalueserve
07.2023 - Current
- Collaborated with the Integrated Risk Analytics Team to support clients in the validation and monitoring of pricing models for Market Risk.
- Performing monthly IRRBB monitoring by manually calculating six shock scenarios and deriving EVE and NII for sample deals, benchmarking results against the BSTART vendor model.
- Performed input data testing and validated tenor-bucket rates by comparing BSTART yield curves with Market data.
- Monitored key model assumptions (constant amortization, proxy curves) and assessed model stability by reviewing delta EVE trends and investigating deviations beyond historical tolerance bands.
- Performing quarterly monitoring and re-validation of the client’s vendor model (Kynex convertible bond pricer), by benchmarking sample deals with Bloomberg.
- Performed risk-sensitivity benchmarking (Delta, Gamma, Vega, Rho, credit spread and YTM) along with fair value tests, bankruptcy ON/OFF checks, interest-rate shift trend analysis, bond-floor and decay-factor tests, and comprehensive stress testing.
- Conducted quarterly monitoring and annual re-validation of the client’s in-house models (FT Model- used for day-to-day valuation and risk management of products like yield curves, money market instruments, IRS, xCCY, and swaptions) by performing zero-rate benchmarking with Bloomberg, manual NPV checks, various interpolations and optimization tests, sensitivity testing, stress testing, P&L attribution analysis, data-limitation reviews, and curve-shape analysis.
- Performed semiannual monitoring of the client’s in-house model (INFINITY and TRADER APP—used for treasury curve generation, discounting/forecasting, and intraday bond P&L and sensitivities) — by validating input data, benchmarking treasury curves with Bloomberg, performing interpolation and price-to-par tests, and manually calculating NPV, PV01, and modified duration for selected samples to benchmark against Bloomberg.
Market Risk-M1 Manager
ICICI Bank
01.2023 - 06.2023
- Prepared SLS and monitored key liquidity and capital ratios including LCR, NSFR, and other regulatory metrics.
- Maintained, enhanced, and back-tested rate-scan calculators for derivatives using Taylor-series methodologies.
- Verified investment-policy limits (PV01, duration, Greeks, stop-loss, trade limits) and coordinated exceptions.
- Performed ICAAP stress testing across subsidiaries using stressed betas, durations, internal scenarios, and RBI curve shocks to assess capital adequacy.
Analyst -Product Controller
Barclays Global Service Centre Private Limited
07.2021 - 12.2022
- Produce and review daily desk P&L including commentaries, investigate Flash/Formal differences.
Sr. Executive (Finance & Accounts)
Vinay Goel & Associates
09.2019 - 07.2021
- Executed statutory and internal audits, finalized accounts, and prepared financial statements.
Sr. Executive
Gupta Dutt & Associates (Chartered Accountants Firm)
01.2018 - 08.2019
- Managed Income Tax and GST compliance, including ITRs, TDS, returns, reconciliations, and assessment support.
Education
FRM - Financial Risk Manager -
GARP
01-2021
CFA-Level 2 - Chartered Financial Analyst -
CFAI
01-2021
CA - Chartered Accountant -
ICAI
01-2017
Skills
- IRRBB and market risk measurement
- Asset liability management
- Sensitivity analysis and stress testing
- Structural liquidity statement preparation
- Liquidity risk monitoring: LCR and NSFR
- ICAAP and ILAAP compliance
- Capital adequacy analysis
- Vendor and in-house model validation
- Yield curve construction and benchmarking
- Pricing models
- Model back-testing and assumption review
- P&L attribution analysis
- Basel I,II,III,IV
- RBI regulatory guidelines compliance
- SR11-7
- Bloomberg and Murex proficiency
- BSTART, KYNEX, INFINITY applications expertise
- Programming in Python, VBA, SQL
- Advanced Excel and MS Office proficiency
Pursuing
Peaks2Tails – Basel & Risk Management Training
Completed intensive training on Basel and banking risk frameworks with hands-on exposure to IRRBB, liquidity risk, and capital adequacy. Developed and implemented IRRBB models in Excel/VBA for multiple banking products and computed EVE and NII under prescribed interest-rate shock scenarios using regulatory, internal, and natural bucketing approaches. Gained practical experience in SLS preparation using RBI maturity bucketing, ICAAP and ILAAP stress testing, RAROC, FTP, and liquidity risk monitoring (LCR, NSFR). Additionally, built and validated Value-at-Risk (VAR) models using historical, parametric, and Monte Carlo methodologies, strengthening quantitative risk assessment and regulatory reporting capabilities.
Languages
English
Upper Intermediate (B2)
B2
Hindi
Upper Intermediate (B2)
B2
Timeline
Market Risk- Senior Analyst- Risk and Compliance
Evalueserve
07.2023 - Current
Market Risk-M1 Manager
ICICI Bank
01.2023 - 06.2023
Analyst -Product Controller
Barclays Global Service Centre Private Limited
07.2021 - 12.2022
Sr. Executive (Finance & Accounts)
Vinay Goel & Associates
09.2019 - 07.2021
Sr. Executive
Gupta Dutt & Associates (Chartered Accountants Firm)
01.2018 - 08.2019
FRM - Financial Risk Manager -
GARP
CFA-Level 2 - Chartered Financial Analyst -
CFAI
CA - Chartered Accountant -
ICAI