Risk Strategy
- Risk Strategy coverage includes:
- Hedging Analysis and framework modeling
- ERM framework for Integrated risk
- RAROC implementation for optimizing Sharpe Ratios
- Modeling EaR and CFaR metrics as extension of VaR for physical trading
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Regulatory Compliance
- FRB, CFTC, SEC and ECB compliance including Basel 2.5 + covering CCAR, FRTB, DFAST, CLAR, CECEL, MiFID and EMIR regulatory regimes.
- Multiple areas of regulatory compliance:
- FRY9C
- CECL related work for IFRS9 involved model validation and valuation alternatives for long range modeling
- Hedging Compliance under IAS 39
- CCAR requirements related to Stress scenario design and modeling
- Model Validations under MRM compliance
- Liquidity risk modeling
- PTMMM reporting for Swap dealers
Market & Credit Risk
- Credit Risk Modeling via C-VaR from ground up
- Build of a Integrated Market and Credit VaR from existing market risk reporting structure
- Customizing build of PFE models for complex commodity and financial contracts for counterparty risk
- CVA modeling for risk impact analysis
