CV SUDHAKAR, FRM
Senior Quantitative Analyst
Chennau
Summary
I am a risk specialist with more than 8 years of experience in regulatory reporting and quantitative finance and a strong academic background in computation finance and statistics with professional certifications in FRM and Data Science. Experience in validation and development of fixed income derivative pricing models using stochastic volatility models. Demonstrated expertise in Basel III and FRTB regulations.
Overview
11
11
years of professional experience
Work History
Senior Quantitative Analyst
DIVINI SOFTWARE PVT. LTD. CLIENT:Qontigo
10.2019 - Current
- Model validation includes analyses and reviews of new quantitative risk models and their components, identify if there is any source of model risk and reporting it
- Independently test and report the findings to Research Specialist on Axioma's recently developed Credit Spread Factor Model
- Executed stationarity and conditional coverage test to ensure quantitative model robustness.
- Perform hypothesis testing which includes Kolmogorov-Smirnov (KS) test and Chi-Square test to assess goodness of fit, distributional differences and model validation.
- Perform curve fitting techniques such as cubic polynomial and optimize predictive models.
- Performed Principal Component Analysis (PCA) in modeling yield curve dynamics to verify model reduction and accuracy.
- Perform fixed-income derivatives pricing using stochastic volatility model SABR
- Validate client portfolio for various risk metrics such as HVaR, Parametric VaR and MC VaR
- Perform VaR spike analysis and bond's exposure to risk factors on a regular basis
- Computing portfolio volatility using factor exposure and factor covariance matrix.
- Experience with Quantlib and other open-source quant libraries
- Lead a small team which includes project management and team training and development
- Assist SCRUM Master in facilitating weekly meetings, sprint planning and review
- Gained proficiency in applying OOP principles
- Experience in Axioma Risk (A Financial analysis software at par with Bloomberg)
- Review and update suggestions on the release documents sent to clients.
Sr. Analyst - GDC Finance (Inter-company close and consolidation)
Bank of New York Mellon India Pvt Ltd.
09.2014 - 10.2019
- Responsible for the preparation of monthly and yearly variance analysis reports for the P&L accounts related to intercompany transactions
- Supporting the month-end closing process for clearing the inter-company P/L and Balance Sheet HFM actual and average breaks
- Evaluate and report LCR ratio and HQLA to the financial controller
- Involved in preparation of monthly presentation decks and dashboards presented to onshore
- Analyzing Escalates, follow-up for aged items & finalizing the open items in the books of Accounts
- Analysis of Inter-company Breaks in Inter-company Accounts Receivable & Payable Account.
F&O Advisor
ICICI Securities Ltd.
09.2013 - 09.2014
- I started my career as an F&O advisor, my goal was to educate clients on portfolio diversification, risk management utilizing derivative products, and cross-selling other financial products.
Education
Financial Risk Manager -
Global Association of Risk Professionals
New Jersey, United StatesExecutive PCP in Business Analytics -
S. P. Jain Institute of Management
MumbaiBachelor of Commerce -
D.R.B.C.C.C Hindu College
ChennaiHigher Secondary Education -
Jaigopal Garodia Vivekananda Vidyalaya
Anna Nagar, ChennaiSkills
Python – NumPy, Pandas, Scikit-Learn & QuantLib
undefinedProjects
Model Validation for Equity Trading desk as per FRTB, Calculate the market risk capital charge using Standardized approach. Validate if the trading desk meets the quantitative eligibility criteria to employ Internal Models for Market Risk capital calculation set by BASEL guidelines.
Timeline
Senior Quantitative Analyst
DIVINI SOFTWARE PVT. LTD. CLIENT:Qontigo
10.2019 - Current
Sr. Analyst - GDC Finance (Inter-company close and consolidation)
Bank of New York Mellon India Pvt Ltd.
09.2014 - 10.2019
F&O Advisor
ICICI Securities Ltd.
09.2013 - 09.2014
Financial Risk Manager -
Global Association of Risk Professionals
Executive PCP in Business Analytics -
S. P. Jain Institute of Management
Bachelor of Commerce -
D.R.B.C.C.C Hindu College
Higher Secondary Education -
Jaigopal Garodia Vivekananda Vidyalaya
Similar Profiles
Srikanth GudlaSrikanth Gudla
Principal Quality Assurance Engineer at Model N India Software Pvt Ltd / Revitas / iMANY Software Pvt Ltd.Principal Quality Assurance Engineer at Model N India Software Pvt Ltd / Revitas / iMANY Software Pvt Ltd.
Ankur AryaAnkur Arya
Senior Software Engineer at FranConnect India Software Pvt. Ltd, Franconnect India Software Pvt. LtdSenior Software Engineer at FranConnect India Software Pvt. Ltd, Franconnect India Software Pvt. Ltd
Bhargav KirneBhargav Kirne
Software Developer at Qvantel software solutions ltd & Nexus Software Limited & Melvault software solutions Pvt LtdSoftware Developer at Qvantel software solutions ltd & Nexus Software Limited & Melvault software solutions Pvt Ltd
Balaganeshwaran S.TBalaganeshwaran S.T
Senior Technical Product Manager at Ford Motor Private LimitedSenior Technical Product Manager at Ford Motor Private Limited
Aonan ZhangAonan Zhang
Senior Quantitative Analyst at Bank Of AmericaSenior Quantitative Analyst at Bank Of America