ASHUTOSH GUPTA

• Conducted research and analysis of currency,stocks, crypto markets to identify opportunities for profit.
• Executed trades in multiple derivative markets on behalf of the firm.
• Prepared regular reports detailing performance metrics, profits and losses, exposures.
• Backtested and developed trading system using pinescript trading view.
• Developed and oversaw hedging services from conception through execution.
• Performed technical analysis to determine future financial performance.
• Analyzed global market data to assess price movements, trends and volatility.

USGAAP-CECL model validation

• Understanding of OCC 2011-12 and SR letter 11-7 guidance on model risk management
• Validated probability of default (PD) bucketing models for retail products using BCBS working paper 14 on the Validation of internal ratings system
• Validated scorecard models for consumer and home loans using tests cumulative accuracy profile and stability index like Population stability index (PSI) & Character Stability Index (CSI)
• Back tested chain ladder model for forecasting Loss Given Default (LGD) used in CECL computation
• Documented and got audited the model validation process and methodology along with validation reports

Capital Computation using IRB

• Implemented RBI and Basel IRB (Internal Ratings Based) approach for capital computation on Bank’s overall portfolio
• Estimated Risk Weighted Assets (RWA) for Wholesale exposures using Basel III foundation approach
• Provided business inputs for the aspects related to implementation of RWA forecasting, regulatory reporting and credit charges

Foward Looking Model

• Estimation of observed default rates (ODRs) across all rating grades on wholesale portfolio
• Forecasted PD for wholesale portfolio using ARIMA model regressing with Macroeconomic variables
• Forecasted default rates of wholesale portfolio across rating grades using transition matrix methodology
• Documented, got audited the forward-looking model to estimate lifetime losses for CECL and IFRS

Covid wave prediction model

• Built a model to confirm a Covid wave from daily active and infection rate data for critical operational decisions
• Used moving average strategy from technical analysis and successfully predicted the third wave
• Back tested the model on different countries and were able to predict a covid wave with 83% accuracy.