Priyanka Devanathan

Counterparty Credit Risk models and Derivatives Pricing models for a prominent Japanese global bank

• Validated Counterparty Credit Risk models, Derivatives Pricing models for IR/FX products, CDS proxy model. Validations include testing in the areas of data, conceptual soundness, outcomes analysis, process accuracy, and governance. Produced compliant documentation according to SR 11/7 standards.
• Utilized Murex and internal Excel add-ins environments proficiently for quantitative analysis and model validation.
• Communicated validation findings via validation reports, observation logs, regular meetings, and remediation tracking.
• Helped maintain model inventory and model risk management framework, including model governance, policy, and procedures. Worked closely with model developers, regulators, and other business stakeholders.

Model testing and Re-documentation for a leading global bank

• Contributed significantly as a key member of a 10-person team responsible for testing and producing SR11-7 compliant documentation for over 130 complex derivative pricing models across IR/FX/Equity/Credit and hybrid products.
• Evaluated conceptual soundness of methodologies and tested model assumptions and limitations under diverse scenarios.
• Contributed to various work streams including model calibration review, test automation suite development, and implementation of ongoing model controls.
• Developed automation tools to enhance productivity and conducted training sessions for new team members.

Monitoring Tool: Decision Tree

• Developed a decision tree model utilizing R Shiny for an Integrated Monitoring tool, validating credit scores across diverse scenarios.
• Conducted rigorous tests including back testing, stability assessment, and scenario analysis to ensure accurate implementation of the model.

Negative News Screening

• Employed various Excel techniques and functions to structure unstructured data for negative news screening.

Research Paper on "Determinants of CDS Spreads"

• Conducted statistical modeling and analysis of CDS spreads to identify key determinants.
• Performed an event study on CDS spreads and equity returns using SUR analysis, and conducted a cross-sectional study of CDS spread for both EU and Non-EU banks based on panel regression.