MANISH CHAUHAN
Bengaluru
Summary
Specializing in market risk model validation, experienced professional in independently assessing quantitative models such as Pricing models, Value-at-Risk (VaR), and stress testing frameworks. Demonstrated expertise includes verifying model accuracy, conducting sensitivity and scenario analyses, and ensuring compliance with regulatory standards like Basel III and SR11-7.
Overview
8
8
years of professional experience
1
1
Certification
Work History
Senior Quantitative Analyst
Wells Fargo
Bengaluru
02.2024 - Current
- Senior Model Validator focusing on Liquidity models - CCAR models, ILST, RLEN, and RLAP models.
- Implementation and oversight of liquidity coverage ratio (LCR), Net stable Funding Ratio (NSFR) and Liquidity stress testing.
- Evaluating the appropriateness of model assumptions, methodologies, and data inputs, identifying potential risks, and recommending adjustments or enhancements to improve model reliability and performance monitoring.
- Reviewing and validating stress testing framework and scenario analysis.
- Reviewing risk ranking templates, which categorize and prioritize risk based on materiality, complexity, and reliance.
- Ongoing Monitoring and periodic re-validation of liquidity risk models.
Treasury Analytics
HDFC bank-Treasury
Mumbai
07.2016 - 06.2021
- Pricing logic model validation for derivatives and treasury products
- Valuation of Treasury Products
- Curve construction/ Bootstrapping for par yield and interest rates
- Credit Support Annexure (CSA) Analysis for valuation differences /exception analysis
- Valuation of financial products i.e
- Derivatives, Fixed income, FX
- Performing Value at Risk (VAR) for monitoring treasury portfolio of bank
- Implementation of Historical simulation method for VaR calculations
- Back-testing for VAR model on basel guidelines
- Capital charge computation(SMM) on the basis of guidelines provided by RBI/Basel
- Statistical analysis and forecasting using ARIMA and Regression techniques
- Testing of pricing templates on Numerix - Template studio
- Pricing on bloomberg using SWPM,SWDF,DLIB
- Strong hands-on knowledge of FO configuration around booking models, pricing environment, pricer config, etc.
Front Office Consultant
Calypso Technologies
Mumbai
07.2021
- Calypso Implementation as a service provider for Financial Products and Risk management
- Implement required Calypso configuration and performing development and testing of the solution
- Work closely with development and testing teams to ensure that product requirements / functionality meet customer needs and assist in providing estimates for analysis and development
- Work closely with Business stakeholders to deliver customer specific solutions, including assisting in responding to queries.
Senior Analyst-Model Validation
HSBC
Bengaluru
- Part of the Model validation Markets team
- Review of Quantitative models and validation i.e
- Pricing models and interest rate models
- Provide support on financial derivatives, risk analytics and in other internal audit engagements
- Documentation of models
- Tracking and closing technical findings
- Benchmarking for Murex, Calypso and Polypaths systems.
Education
Master Of technology - Industrial engineering and Operations Research
Indian Institute of technology, Powai
Skills
- Analytics
- ARIMA
- Regression
- Consulting
- Pricing
- Valuations
- Python
- Microsoft Excel
- Matlab
- Financial Softwares
- Numerix
- Bloomberg
- Murex
- Refinitiv
- Calypso
Certification
- Calypso Assocate Level Certification
- Bond Valuation Mastery - UDEMY
- Python for Finance-Investment Fundamentals and Data analytics - UDEMY
- Microsoft SQL for beginners - UDEMY
- Master Class In Finance- National Institute for Securities Market(NISM)
Timeline
Senior Quantitative Analyst
Wells Fargo
02.2024 - Current
Front Office Consultant
Calypso Technologies
07.2021
Treasury Analytics
HDFC bank-Treasury
07.2016 - 06.2021
Senior Analyst-Model Validation
HSBC
Master Of technology - Industrial engineering and Operations Research
Indian Institute of technology, Powai