Mahesh Thengane
Pune
Summary
A results-driven Market Risk professional with over 10 years of experience in risk management, capital markets, and derivatives. Familiar with Value at Risk (VaR), stress testing, trade surveillance, and risk reporting, along with regulatory frameworks such as FRTB and Basel III.
Comfortable using Power BI at a functional level for risk monitoring and basic dashboard creation, supporting enhanced visibility of risk exposure across asset classes. Holds a basic understanding of SQL for querying and validating risk data in support of regulatory reporting and control frameworks.
Overview
10
10
years of professional experience
Work History
Authorized Officer – Product Manager, Market & Treasury Risk Monitoring
UBS Business Solution
Pune
10.2022 - Current
- Actively contributed to the second line of defence within risk management by overseeing the Large Notional (LN) process across multiple asset classes.
- Collaborated closely with Market Risk Officers (MROs) and senior stakeholders to ensure compliance with predefined risk limits and trade thresholds.
- Monitored and assessed large notional tradesusing an advanced Excel-based ADD-IN platform, investigating discrepancies in trade attributes versus MRO-defined parameters.
- Conducted detailed data validation and root-cause analysis of mismatches by exploring underlying trade databases, ensuring accuracy and regulatory compliance.
- Designed and developed interactive Power BI dashboards for FRTB compliance reporting, focusing on sensitivity analysis for FX and Interest Rate (IR) asset classes.
Risk Analyst
The Citco Group Ltd.
Pune
07.2020 - 09.2022
- Produced detailed quantitative portfolio performance and risk attribution reports for institutional clients, including hedge funds.
- Conducted comprehensive portfolio risk attribution, analyzing sensitivities, scenarios, and Value at Risk (VaR) to assess investment portfolios.
- Evaluated portfolio performanceby computing both gross and net returns, and identifying management and incentive fees, including the calculation of high watermark levels.
- Assessed exposure across different asset classes and counterparties, determining percentage of exposure relative to NAV.
- Utilized Bloomberg, UBS Delta, and Qlik dashboards for real-time reporting and analysis.
Analyst
SG Analytics Pvt. Ltd.
Pune
02.2017 - 04.2020
- Applied advanced financial modeling techniques and valuation concepts, utilizing MS Excel advanced formulas for efficient outputs.
- Developed quantitative templates for risk measures such as Value at Risk (VaR) across multiple asset classes using Historical Simulation, Monte Carlo Simulation, and Variance-Covariance Matrix.
- Created and maintained valuation modelsfor fundamental research, providing valuations using Discounted Cash Flow (DCF) and Relative Valuation methods.
- Enhanced client financial modelsby incorporating additional datasets and refining existing methodologies, leading to improved predictive accuracy and operational efficiency.
- Gained proficiency in Thomson Reuters, Bloomberg, and FactSet for seamless integration and analysis of market data.
Junior Technical Analyst
Capital Via Global Research Ltd.
Indore
06.2015 - 01.2017
- Generated intraday and positional Buy/Hold/Sell recommendations based on technical analysisfor MCX, COMEX, and Forex markets.
- Managed individual portfolios for HNW clients, advising on optimal asset allocation to align with investment goals.
- Developed and implemented tailored trading strategies, considering risk appetite to achieve capital appreciation while managing downside risks.
- Prepared comprehensive technical reportsfor Forex and MCX markets on a daily and weekly basis, translating complex technical findings into actionable insights.
Education
PGDM - Finance
ITM Business School
Navi Mumbai06.2015
Bachelor of Engineering (B.E.) -
K.D.K College of Engineering
Nagpur05.2013
Class XII - A.P Board
Sri Chaitanya College
Hyderabad04.2009
Class X - C.B.S.E
M.H.S.S
Ballarshah03.2007
Skills
- Market Risk Management
- Value at Risk (VaR) and Expected Shortfall (ES)
- Stress Testing and Scenario Analysis
- Risk Control and Governance Frameworks
- Risk Reporting and Exposure Analysis
- Familiarity with FRTB and Basel III compliance
- Power BI
- Basic SQL
- Bloomberg, Thomson Reuters, and FactSet
- Stakeholder Communication
- Cross-functional collaboration (with tech, risk, and compliance teams)
Accomplishments
- SGA GEM Award, 07/17, SG Analytics Pvt. Ltd.
- Achiever of the Month, 09/16, SG Analytics Pvt. Ltd.
- Alpha Team Challenger, 11/15, Capital Via Global Research Ltd.
Timeline
Authorized Officer – Product Manager, Market & Treasury Risk Monitoring
UBS Business Solution
10.2022 - Current
Risk Analyst
The Citco Group Ltd.
07.2020 - 09.2022
Analyst
SG Analytics Pvt. Ltd.
02.2017 - 04.2020
Junior Technical Analyst
Capital Via Global Research Ltd.
06.2015 - 01.2017
PGDM - Finance
ITM Business School
Bachelor of Engineering (B.E.) -
K.D.K College of Engineering
Class XII - A.P Board
Sri Chaitanya College
Class X - C.B.S.E
M.H.S.S
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