Rupal Mishra
Senior Quantitative Analyst
Bangalore
Summary
17-year experienced Quantitative Analyst/Risk Quant specializing in rates and FX. Expertise in curve building, volatility surface calibration, and advanced quantitative modeling techniques such as SABR, HW-1F, NSS, and Principal Component Analysis. Proven track record in model governance, regulatory compliance (CCAR, FRTB), and performance reporting. Strong background in Value at Risk (VaR) modeling and risk-based P&L computation. Extensive experience managing CSA curve implementations. Skilled in programming (Python, Core Java, SQL) and the end-to-end software development cycle (CI/CD Pipeline). Focus on model validation, testing, and debugging for accurate results.
Overview
18
18
years of professional experience
4023
4023
years of post-secondary education
Work History
Senior Vice President, Quant Analytics
NatWest Markets
11.2022 - Current
- Led a team of Quants specializing in Rates ensuring training, development and performance management
- Contribute to the Internal Models Approach (IMA) for FRTB in rates, understanding key components like Hypothetical Pnl and Risk Predict
- Understand Hypo PnL implementation across Bank as well as comprehend risk compute from models to properly explain difference between Hypo PnL and Risk predict.
- Oversaw and developed PLA tool Dashboard in Python for strategic implementation of FRTB PLA metrics across various desks
- IR Risk Measure(First order and higher order) computation and validation for FRTB-PLA testing
- PnL decomposition of Inflation products to explain unrealistic TimeDecay changes in Inflation curve and month end rolling which should be properly accounted in RTPL.
- Analyze and optimize VaR and other risk metrics under FRTB guidelines to ensure accurate capital charge calculations
- Leading efforts to develop and manage curve building process for interest rates, inflation from market instruments
- Create detailed model documentation and performance reports to meet model validation and regulatory compliance requirements(SR-11/7).
- Develop and calibrate SABR and extended Hull White Model parameters for PruVal calculations
- Implement Principal Component Analysis for Risk-based P&L computations (gamma pca) for Spread Options
- Drove initiatives to update real time risk via dash app based on RFQ as well as headed programs of curve building (NSS, Cubic Spline) for Bonds for traders of GBP Rates Desk
Vice President
JP Morgan
11.2016 - 10.2022
- Company Overview: Corporate
- Supervised a team of approximately 20 professionals in the Rates division
- Getting CSA Driven/Driver(Projection/Discount) curves decomposition for Interest Rate Swaps for FRTB IMA approach
- Trying to compare Risk predict vs Actual pnl based on such different Curves and understanding collateral optimization using Stochastic Calculus
- Contributed to key risk regulatory projects including CCAR (Comprehensive Capital Analysis and Review) and FRTB regulatory reporting for Rates desk
- Created and refined models such as PCA (Principal Component Analysis) weightings for Rates
- Worked on project for simulations to effectively generate Expected Exposure (EE) profiles for various instruments including but not limited to FX, IRS, CCS
- Oversaw the production support team responsible for Market Risk and PnL tools in the Rates sector
AVP, Prop Trading
Credit Suisse
06.2010 - 10.2016
- Deployed Barra risk factor models on Equities and similar linear products to access risk
- Implemented Monte Carlo Simulation Analysis for Value at Risk (VaR) calculations on Equity portfolio
- Generated comprehensive risk management reports covering Contagion Risk, VaR Tracker, Liquidity Modeling, Limits Report, Index Sector Decomposition, and Scenario Analysis
- Stress Testing for strategies implemented from Desks to be used for limits computations
- Prepared daily market data risk reports to monitor and analyze market risks, including Credit Default Swaps (CDS) pricing reports across various countries
- Value at Risk Calculation using Historical Simulation approach for set of portfolios from research point of view
- Applied stochastic calculus techniques to support advanced risk modeling and analysis
Morgan Stanley Division and Aristocrat Technologies
07.2007 - 05.2010
- Company Overview: Headstrong
- Calculated margins and reconciled fees for various Alternative Investments, including Fund of Funds, Single Strategy Hedge Funds, and Multi-Strategy Hedge Funds, with Morgan Stanley as the broker
- Utilized the Investran data management system to reconcile positions and transactions between fund managers and various deals, ensuring accuracy based on contractual agreements
- Employed models to securitize pools of loans into bonds, with pricing based on scenarios such as loan defaults and prepayments
- Headstrong
Education
Bachelor of Technology - Aerospace Engineering
Indian Institute of Technology, Kanpur
07-2007
Executive MBA - Finance
Indian Institute of Management, Kozhikode
12-2015
Skills
- Skilled in Python Development
- Proficient in Core Java and SQL
- ETL Process Management
- Learning Rust/C
- Machine Learning Algorithms
Timeline
Senior Vice President, Quant Analytics
NatWest Markets
11.2022 - Current
Vice President
JP Morgan
11.2016 - 10.2022
AVP, Prop Trading
Credit Suisse
06.2010 - 10.2016
Morgan Stanley Division and Aristocrat Technologies
07.2007 - 05.2010
Bachelor of Technology - Aerospace Engineering
Indian Institute of Technology, Kanpur
Executive MBA - Finance
Indian Institute of Management, Kozhikode
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