Summary
Overview
Work History
Education
Skills
Certification
Timeline
Generic

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
MANISH CHAUHAN