Keerthana Raghavan

• Model Validation in areas of Market Risk, Credit Risk, Liquidity Risk and Pricing Validation
• Priced caps and floors on vendor systems (QuIC and Murex) for methodology change from Black 76 to Bachelier to tackle negative interest rate environment
• Implemented curve bootstrapping and curve construction to oversee G24 currencies' adherence to OIS and SOFR during LIBOR transition
• Validated pricing models (plain vanilla, vanilla FX options, barrier options) and Yield curve construction models (Nelson and Siegel)
• Performed computations of RWA projections based on Taylor approximation using forecast of VaR and SVaR by running a Counterparty Credit Risk model

Description: Key pillar of a 5 member team working on Financial Risk model development, model validation and back office valuation/trading platform for the largest Investment Bank in Japan

• Extensive validation in pricing and valuation models based on SR 11-7 guidelines
• Worked extensively on pricing options, swaps, commodity products, Treasury lock, interest rate futures, Fx options amongst other derivative instruments
• Performed validation on array of models - CCAR/PPNR, credit scorecards and Fraud models (Neural networks, Logit Boost enabled AI models)

Description: Handled the back office operations of Summit - a trading platform similar to Calypso, Murex etc.

• Hedged Financial derivatives (FX and SWAPS) based on client requirements and perform middle office functions
• Worked on MIFID project to ensure that trades are compliant to prevailing regulations
• Generated SWIFT messages based on trade type and fixed issues