Vishal Maru
Risk Management Leader
Wagholi
Summary
Strategic and results-driven risk management leader with over 14 years of experience in counterparty credit risk, regulatory compliance, and financial risk assessment across top-tier global banks and consulting firms. Adept at leading cross-functional teams, driving large-scale risk transformation projects, and optimizing regulatory capital frameworks. Expertise in Basel III/IV, SA-CCR, IMM, stress testing, and quantitative risk analysis. Proven track record of delivering regulatory compliance, enhancing risk frameworks, and driving business growth.
Overview
15
15
years of professional experience
5
5
years of post-secondary education
2
2
Certifications
4
4
Languages
Work History
Vice President (Counterparty Credit Risk Specialist)
Citi Group
03.2024 - Current
- Validated Counterparty Credit Risk (CCR) methodology, ensuring Basel III compliance and improving risk measurement accuracy.
- Led risk assessments on Potential Future Exposure (PFE) & Wrong Way Risk (WWR), Stress testing Exposure metrics thus reducing understatement/overstatement of risk numbers.
- Designed and executed Operational Effectiveness Testing (OET) & Design Effectiveness Testing (DET), improving methodology accuracy & reduce operational risk .
- Established a culture of continuous improvement, fostering innovation and driving sustainable growth across the organization.
Associate Director– Risk Advisory
Deloitte Touché Tohmatsu India LLP
05.2021 - 03.2024
- Validated counterparty credit risk measures, including Expected Exposure (EEPE), Potential Future Exposure (PFE), and Credit Valuation Adjustment (CVA), in accordance with the Basel III framework
- Spearheaded credit risk RWA, PD, LGD, and EAD validation, ensuring accurate reporting to regulators such as the PRA and FED, and performing RWA adjustments to prevent underreporting of capital numbers
- Conducted validation checks for trades priced through Internal Models Method (IMM) and Standardized Approach for Counterparty Credit Risk (SA-CCR) models
- Designed and developed a Comprehensive Capital Analysis and Review (CCAR) model leveraging statistical techniques, including expert judgment and regression analysis
- Successfully implemented the model within the R infrastructure, ensuring seamless integration and efficient processing
- Created comprehensive model documentation, facilitating transparency, reproducibility, and timely submission of CCAR and Pre-Provision Net Revenue (PPNR) reports
- Contributed to the implementation of Basel IV for counterparty credit risk and market risk, covering Pillar 1, Pillar 2, and Pillar 3 reporting
- Served as a Business Analyst for the Basel IV project, gathering requirements for large exposure, leverage ratio, and output floor for CRR2 and CRR3 regulations, and performing UAT testing post-implementation
- Leveraged SQL, Tableau, and Qlik Sense to extract and analyze data, informing business decisions and presenting RWA impact at the group level to the CFO and CRO on a monthly and quarterly basis
- Drove business development for Deloitte India, generating a net sales revenue of INR 7 billion for FY 2022
- Successfully hired and onboarded candidates for relevant engagements, ensuring seamless project execution and timely billing
- Supervised and mentored a project team of over 50 members, conducting appraisals and client assessments to identify areas for improvement and map skills to meet business requirements
Assistant Vice President - Senior Business Analyst- Libor Transition- Traded Risk Transformation
HSBC India P Ltd
04.2020 - 02.2021
- Spearheaded Traded Risk infrastructure enhancement through the 'LIBOR Transition' project, assessing the impact of new Risk-Free Rate (RFR) regulatory risk measures, including Expected Exposure (EEPE) and Potential Future Exposure (PFE), on Risk-Weighted Assets (RWA) and Tier 1 capital
- Coordinated with Front Office, Credit Risk Limit Monitoring, and IT teams to gather requirements, create functional testing protocols, and develop comprehensive test plans
- Defined and managed User Acceptance Testing (UAT), tracked and resolved defects, ensuring seamless project execution and delivery
- Conducted impact assessments of shifting from legacy RFRs (e.g., EONIA) to new RFRs (e.g., ESTR) on portfolio performance, providing high-level summaries and insights to senior management in working groups
Assistant Vice President - Basel III IMM Credit Exposure Move Analysis
Credit Suisse India P Ltd
01.2014 - 04.2020
- Validated Day-on-Day and Month-on-Month Basel III Counterparty Credit Risk Exposure and RWA movement, providing expert commentary on risk measures such as EEPE, PFE, and ENE
- Conducted credit risk exposure valuation at a portfolio level across various business lines, including Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, and SLB
- Analyzed and reviewed Tier 1 Capital Impact at the group level, ensuring accurate capital reporting for regulators such as FINMA, PRA, and the Fed
- Validated CS01 and CVA RWA, key regulatory risk measures in Basel III exposure calculations
- Validated baseline credit risk numbers for Pillar 2 ICAAP submissions
- Provided inputs and performed analysis on Pillar 1 & Pillar 3 reports, addressing regulator queries
- Led projects such as SEPE (Monte Carlo Simulation), SEF, SACCR, and IOSCO, ensuring smooth project releases and impact analysis
- Participated in hiring drives and interviewed candidates for respective projects
- Conducted performance appraisals for team members
- Identified and facilitated resolution of anomalous EPE values using advanced simulation tools and models
- Provided subject matter expertise and analytics support to Front Office RWA optimization teams
- Worked on various risk management streams, including IMM exposure validation, CEM, ACVA, Hedge optimization, and Brexit impact analysis
- Participated in IMM gaps remediation work to improve stress testing methodology
Associate- Assistant Vice President- Treasury and Capital Management
Nomura Services India Pvt. Ltd.
01.2018 - 07.2018
- Prepared and analyzed Capital Adequacy reports (RWA), providing insightful commentary on daily and monthly movements in RWA
- Ensured data quality and integrity by resolving issues related to Exposure at Default (EAD), Risk-Weighted Assets (RWA), Probability of Default (PD), Loss Given Default (LGD), and collateral allocation, adhering to Basel 3 norms
- Successfully prepared and submitted COREP Quarterly returns to the PRA regulator, ensuring timely and accurate compliance with regulatory requirements
Senior Associate- OTC Derivative Valuation
GlobeOp Financial Services P Ltd
04.2011 - 01.2014
- Company Overview: (Hedge Fund Administrator)
- Priced, valued, and validated OTC derivatives instruments across various asset classes, including Equity, Interest Rates, FX, and Credit, for international Hedge Fund clients
- Handled complex products such as Credit Default Swaps, Variance Swaps, Swaptions, Equity Swaps, Interest Rate Swaps, Equity Options, FX Options, and Exotic derivative products
- Conducted independent validation and analysis of Month-End values and prices using proprietary curves, Volatility Surfaces, and Pricing data sheets
- Maintained accurate valuations by uploading curves in Kondor/Pricers and performing daily and month-end valuations of Exotic financial products
- Assessed the impact of Exotic financial products on overall portfolio performance and utilized third-party vendor applications like Bloomberg and Reuters to value derivative products
- Served as a subject matter expert, resolving client queries and escalating critical issues to ensure timely and accurate resolution
- (Hedge Fund Administrator)
Income Analyst (Administrator Data Controller)
CAPITA India Pvt Ltd
04.2010 - 03.2011
- Analyzed dividends from securities and interest from fixed income securities held by various Mutual Funds, Fund of Funds, and Hedge Funds, utilizing data from reputable sources such as FTID, Bloomberg, Thomson Reuters, and Trustnet
- Conducted bank statement reconciliation for BNY Mellon, ensuring accuracy and precision in financial reporting
- Provided expert support to funds, resolving queries related to interest and dividends in a timely and professional manner
- Performed dividend reconciliation, ensuring seamless and accurate processing of dividend-related transactions
Education
CFA - Finance
Institute of Chartered Financial Analyst of India (ICFAI)
Mumbai 04.2008 - 04.2010
Bachelor of Commerce - Financial Accounting
B.N.N College
Mumbai 03.2007 - 03.2008
High School Diploma -
B.N.N College
Mumbai 03.2004 - 03.2005
Xth - Mathematics
Shree Halari Visa Oswal Vidyalaya
Mumbai 03.2002 - 03.2003
Skills
Counterparty Credit Risk, Market Risk
PD,LGD,EAD,RWA,EEPE,PFE,CVA,DVA,FVA,Stress testing
Basel III, Basel IV (Capital Output Floor)
Large exposure reporting, Liquidity Risk, COREP, IRRBB
R,Python,SQL,Tableau,PowerBI, JIRA,Confluence,
Team Management,Stress management
Certification
CISI Investment
Accomplishments
- Global Training and Methodology Implementation: Selected for an exclusive training program in London, focusing on the adoption of the new Internal Model Methodology (IMM) for counterparty credit risk exposure calculation, demonstrating expertise and commitment to regulatory compliance.
- Risk Reduction and RWA Optimization:Received commendation from Front Office stakeholders for providing timely exposure adjustments, resulting in significant reductions in Risk-Weighted Assets (RWA) and leverage exposure, positively impacting the bank's IB 2014 results.
- Brexit Impact Analysis and Risk Mitigation: Provided critical impact analysis on broker-dealer counterparties during the Brexit event, enabling Front Office stakeholders to proactively monitor and mitigate risks, reducing positions accordingly.
- Industry Recognition and Awards: Awarded 9 RAVE Gold bars in Credit Suisse, recognizing top 3 performer status across the Chief Risk Office (CRO), accompanied by a certificate of appreciation, underscoring exceptional performance and contributions to risk management excellence.
- CCAR PPNR Model Implementation:Received multiple accolades from clients for successfully implementing the CCAR PPNR model within a tight timeline, demonstrating expertise in regulatory compliance and project management.
- Basel IV Implementation :Earned recognition for implementing Basel IV requirements for Large Exposure Reporting, showcasing ability to adapt to evolving regulatory requirements.
- Consecutive Award Winner: Received the 'Move the Dot' and 'Impact the Dot' awards from Deloitte for consecutive years, recognizing outstanding performance, contributions to business development, and exceptional leadership in managing teams, clients, and projects.
Timeline
Vice President (Counterparty Credit Risk Specialist)
Citi Group
03.2024 - Current
Associate Director– Risk Advisory
Deloitte Touché Tohmatsu India LLP
05.2021 - 03.2024
Google Cloud Certification
11-2020
Assistant Vice President - Senior Business Analyst- Libor Transition- Traded Risk Transformation
HSBC India P Ltd
04.2020 - 02.2021
Associate- Assistant Vice President- Treasury and Capital Management
Nomura Services India Pvt. Ltd.
01.2018 - 07.2018
Assistant Vice President - Basel III IMM Credit Exposure Move Analysis
Credit Suisse India P Ltd
01.2014 - 04.2020
Senior Associate- OTC Derivative Valuation
GlobeOp Financial Services P Ltd
04.2011 - 01.2014
CISI Investment
08-2010
Income Analyst (Administrator Data Controller)
CAPITA India Pvt Ltd
04.2010 - 03.2011
CFA - Finance
Institute of Chartered Financial Analyst of India (ICFAI)
04.2008 - 04.2010
Bachelor of Commerce - Financial Accounting
B.N.N College
03.2007 - 03.2008
High School Diploma -
B.N.N College
03.2004 - 03.2005
Xth - Mathematics
Shree Halari Visa Oswal Vidyalaya
03.2002 - 03.2003
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