Ajay Wavhal

Client : NOMURA Holdings

Project : FRTB

• Project involves transition of legacy database into new and enhanced Database compliant with FRTB IMA implementation.
• Verify VaR and Full Valuation(2D grid) numbers with the new system by manually calculating using appropriate time series and risk metrics.
• Data Analysis and Reconciliation between two system, Identify the breaks and look for opportunity to enhance the way of capturing risk.
• To get the issues fixed by communicating them to IT, support in UAT- End to end testing.
• Extensive use of project management tools like JIRA, Confluence,SQL.
• Contributing to project planning and milestone development , Keeping track of project by managing Book of work(BOW).
• Creating presentations to collaborate with clients executives to streamline the processes, resulting in improvement of project delivery timelines.

• Real Time Risk Management of Margin Utilization, Credit exposure of members, price and volatility shifts to manage potential risk from market participants.
• Manage all the collateral from members which may be in the form of Cash,BG, FDR etc.
• To apply Margins such as SPAN, VAR, additional margins to Six segments of market Cash Market ,Futures and option, Currency Derivative , Commodity, Debt,SLB.
• I have been a part of implementation of newly published paper from SEBI which is Segregation and Monitoring of Collaterals at Client Level.
• To co-ordinate with system developers to ensure all the systems are working inline and daily process is not affected.
• Implementation and testing of systems after incorporating new developments proposed by SEBI.
• Informing member about their RRM and Disablement status and also solving member queries which they face in their day to day operation

• Real Time Risk Management of Members Margin Utilization & Position Limit based, Online Monitoring of Member Positions & Trades of Commodity.
• Computation of Value at Risk (VAR) and implementation of Margin w.r.t Volatility.
• Monitoring and Relaxation of Daily Price Range (DPR) ,Stress Testing, Collateral Risk Management.
• Support the developing agenda and key metrics of Risk management and control.
• Contributing to the development of new software’s of key risk indicators inclusive of analysis and exception.
• Generate periodic report to be sent to Senior management and to Regulator (SEBI)
• Co-ordination with Audit and other operational teams.
• Meetings with senior management and risk teams of other clearing houses and also with SEBI officials.