Jayesh Wargantwar

1. Model Development (Model Validation and Testing) for the FRTB Internal Models Approach and Standardized Approach.

2. Worked on the development of credit risk models, including Aircraft and Ship Finance models, for a major investment bank.

3. Developing and running stress-testing scenarios.
4. Performing impact analysis on multiple Risk systems due to changes in the hierarchy of organization
5. Writing R code for development of Credit Risk Model Prototype for Stress Testing and RWA scenarios.
6. Creating and maintaining a central repository of all key ALM documentation: procedures, model documentation, regulatory submissions
7. Developed a good understanding of Risk concepts in areas such as Stress testing, Counterparty Credit Risk, Economic Risk Capital, Liquidity, Market and Enterprise Risk etc.
8. Also well versed in calculation of Risk sensitivities, Default Risk Charge, PD, EAD and LGD.
9. Conducted Third party risk based assessment for leading global bank which involved assisting third party engagemnet managers for periodic third party risk assessments and reviewing the inherent and residual risks by TPRMS and vendors using the GRC tool used by the bank.
10. Ensuring that vendors and TPRMs are in line with the policies and frameworks of the bank, and suggesting corrective measures or an alternate course of action in case of deviation.
11. Implementation of key control initiatives as well as representing IB controls in key Risk and control forum. Initiate tyre kicks Thematic reviews and similar control initiatives for high risk areas for business to mitigate risk wikthin the bank.
12. Developing and maintenance of control tools used to monitor trade performance, desk performance and business level performance. Prepare risk and control metrics to assess supervisory and operational risks.
13. Resource Management and hiring for Client projects. Resource allocation, organizing business meetings for provision of consultants and also fixing the rates for the
same.
14. Create traceability matrix for mapping of the consultants with the adequate requirements. Also taking care of onboarding of the consultants.

FRTB Market Risk: (August 2021 - February 2023):

1. Understanding logic behind the change in the market risk definitions and way of storing the data due to migration of data from legacy systems to new data storage.

2. Creating a logic and design an algorithm to reconcile the data and make a functional document for the same.
3. Understand FRTB Models and Market Risk calculations and make changes as per the requirement.
4. Participating in daily scrum meetings and heading various initiatives to organize other necessary meetings and ceremonies
5. Developing the code in python to carry out this logic and automate the reconciliation process.
6. Develop test cases and test the code to improve recon process. Review and approve test plans and test cases.
7. Arrange client reviews of software under development to validate business requirements are aligned with the software developed.
8. Contribute to continuous improvement and proactively support knowledge-sharing across the department.
Regulatory Reporting Analysis: (June 2019 - July2021)
1. Doing the Impact analysis for BASEL Pillar 1 and Pillar 3 reports.
2. Gathering requirements and creating Traceability matrix for the changes in the reports and build feasible solutions.
3. Changed multiple legacy methods and automated multiple manual process which in turn reduced the turnaround time from 15 days to 10 minutes using Python.
4. Introduced agile methodology in place of traditionally used Waterfall method in the team. Producing business deliverables such as Epics, User stories using JIRA to support the agile team.
5.Establish the product backlog and work with Business Change team to ensure that user stories accurately reflect business priorities. Regularly update the product backlog for accommodating changing business requirements.
6. Data analysis for the changes in attributes and formulas to calculate various risk numbers using SQL,Python.
Monthly Reorg Impact Analysis: (June 2018-June 2019)
1. Performing impact analysis on multiple systems due to changes in the hierarchy of organization.
2. Automated the process and reduced the turnaround time from 5 manual days to 30 minutes.
3. Worked as the Business Analyst lead on the project and managed the workload and shown accountability.
4. Facilitating reviews and coordinating with multiple stakeholders of the project and resolve ad hoc issues of the product.
5. Proactively co ordinate with the business for to analyze changing business needs and functionality requirements.
Economic Risk Capital (ERC) Dashboard:
1. Worked as requirements engineer for ERC Dashboard updates.
2. Designed new screens for the users using Gliffy wireframes.
3. Alignment of wireframes with Pattern Library, Style Guide and Conceptual Model for UI work.
4. Creating functional specification documents by using Odyssey and Atlassian platforms.
Impact Analysis Tools and Automation: (July 2018 – February 2023)

1. Developed a search tool using Python to automate the manual searching process traditionally carried out by BAs in the team. Essentially, the product owner for multiple automation tools used in the team.
2. Created an attribute finder tool, which significantly helped in attribute analysis for multiple projects.
3. Provided multiple training sessions to different teams, and also took constructive feedback to improve the product.
4. Identified and escalated risks, issues, dependencies, and scope changes for various functionalities or tasks involved in all the projects I worked on. Suggested mitigating actions wherever possible, and also created multiple products from scratch to facilitate the same.