Vaishnavi Kambhampati

Accomplishments:

• Successfully worked on the migration of XVA desk-CVA MO responsibilities from Charlotte, USA to India. First point of contact to XVA FO.
• Identified the Model and infrastructure deficiencies and pitched to Quants and technology teams for enhancements.
• Successfully put all FO runs post migration from calypso risk system to XVA Top system impacting ~10,000 trades.
• Worked with quants on new product modeling as per mandate and their attribution. Working with support and development in implementation of SA-CCR and basing. Established bedrock and procedure for better volcker reporting.
• Played significant role in FVA onboarding for the desk, creating processes, management of FVA risk & Pnl reports.
• Collaborating with Women’s network and part of Global Inclusion working group.

Resposibilities:

• Book CVA and Structured note trades and manage the trade cycle events directly with FO.
• Daily monitoring and proactively working with FO on managing counterparty risk and point of contact for any queries on the risk from
  CCR/Market risk teams.
• Prepare, review and analyse the daily morning risk reports for various risk sensitivities including IR Delta, IR Gamma, IR Vega, CR01, FX Delta
  and FX Vega etc. used in End-of-Day T0 Flash pnl . Responsible for daily T0 P&L attributions for desk , finance and Market risk teams.
• Analyzing the CSA/Netting criteria and liquidity of counter-party to assign the probability of default curve, credit curves as key input in CVA
  calculations.
• Performing IG and HY calibration on weekly basis for more realistic estimation of risk and Pnl.
• Perform Correlation updates monthly/quarterly
  for regression analysis to be used for VaR, stress testing.
• Setting up pricing environments and pricing configurations for pricing different products. Defining market data and Wells Fargo curve
  markings and credit curves through mark by hand and GXL.
  Computations of month end proxy, SWWR, TBA postings according to the model.
• Periodical review and updation of counterparty risk parameters like PD, LGD, RR, PFE,MNE, MPE, EEPEs. etc also firms PD and curves for DVA
  computations.
• Review and perform various operational controls reports to ensure CVA coverage across all OTC derivative trades. Updating and
  implementing the controls and document according to the organization RCSA framework.
• Producing Numerous analyses for FO Quant team for quarterly model monitoring, analysis for reporting to CCAR teams and KPIs.
• Responsible for opening/closing inventories as per risk mandates and setting up flows for correct regulatory and capital reporting purposes.
• Contributing to large transformational regulatory initiatives from CVA MO side.
  Part of smaller projects continuously in reducing control gaps or improving time efficiencies (eg: Initiation of factoring in FVA, KVA).
• Now part of P&L aggregator project team called Kessel.

• Hands-on in validation of Daily pnl of Equity Swaps, Equity options and stocks and identifying any issues in the valuation.
• Performing Equities daily Pnl and front to back controls.
• Aligning Corporate actions of companies in UK & US to the effect on the desk positions.
• Dividend Computations and Strategy level Spread calculations.
• Performing Month End Ledger postings and reconciliations.
• Resolve queries from the desk, middle office and various LOB teams.
• Assist and resolve queries of Legal entity controller and financial controllers in regulatory reporting.
• Single point of contact in dealing queries from Desk, Trade control, Middle office, Operations and LOB finance team.

• Part of XVA -FVA Team looking after control for the FVA-collateral Desk.
• Well-versed in FVA calculations, sound knowledge about CSA terms, and ISDA mandates..

• Bronze Award for successfully on-boarding Finance redesign program which would save 600-1000 man hours per annum for my team.
• Developed various controls in daily tasks to avoid Operational loss events
• Onboarded various enhancements for process improvements using VBA and Alteryx
• Successful part of Oracle cloud migration
• Active participation in projects to develop the control infrastructure and facilitate business growth.
• Production and reporting of daily P&L to Front Office & Senior Management.
• Reconcile actual P&L with trader estimates and provide flash/actual variance analysis.
• Providing drivers of significant Pnl movement and substantial New Deal Pnl review using market drivers using Bloomberg, Reuters and Bank of America internal tools.
• Working closely with the trading desks on position, P&L or other issues on an ad-hoc basis.
• Front-to-Back analysis & reconciliations of front office p&l
• Analysing & reporting various valuations adjustments to Pnl (eg. XVA adj like CVA etc.)
• Identifying the drivers for the deviation with stress tested pnl.
• Preparation of Collateral Fund transfer pricing (CFTP) for Month end reporting
• Book opening and closing activities for FO and setting up static for reporting.
• Providing weekly, month and quarterly commentary for Pnl movements and signing off month end balances.
• Part of various UAT testings for implementation

• Spot light Award for continuous 2 months for best performer in the team.
• To ensure the daily pnl is accurately reported in compliance with applicable policies.
• To ensure that the relevant controls are adhered to.
• To ensure that the relevant P&L at month-end is reported correctly by making appropriate adjustments.
• Analysing Pnl attribution and providing commentaries that exceeded the thresholds
• Involvement in building various control checks
• Discussing various KRI /KPI 's with various stakeholders.
• Calculation of IPV valuation adjustments to align with IFRS 9 and 13 and reporting to pnl.

• Part of various statutory, concurrent audit, tax filings.