Engineering Management
Resume:
ARUN TANKHA
**********.******@*****.*** +91-750*******
B-108, Adityavardhan, Chandivali, Andheri (E), Mumbai, 400072, India EDUCATION
Indian Institute of Technology Kharagpur (2010-2015) Bachelor (Hons.) and Master in Engineering
Ocean Engineering and Naval Architecture
CGPA : 7.12/10
GARP, FRM Level 1
WORK EXPERIENCE
Credit Suisse Mumbai (July 2015 – Present)
Quantitative Risk Analyst, Model Risk Management
• Worked on validation of Credit Spread Emerging Market VaR model 1. Developed an independent backtesting framework for the model in accordance with Basel Traffic Light approach
2. Discovered too many exceptions in the Red zone and identified the cause of these exceptions and proposed remediation
3. Performed an independent implementation testing of the model based on the submitted methodology
• Worked on validation of Collateral Allocation model * for different exposure calculators 1. Conducted a performance testing of the model against benchmark models 2. Found that splitting replacement cost between the calculators in the ratio of the trade risk factors is a conservative and least punitive modelling approach 3. Performed an independent implementation testing of the model based on the submitted methodology
• Worked on the validation of General Wrong Way Risk scaling factor model * 1. Validated the methodology that calculates the scaling factor for GWWR add-on on top of exposure profile for regulatory capital
2. The model calculates the conditional probabilities assuming Merton Model of default for counterparty worthiness and portfolio exposure
3. Identified significant problems with the correlation calibration process 4. Identified significant issues with the model design leading to the failure of the model
• Validation findings are presented in a report for each model with details of the tests and analysis done and is submitted to the respective regulator
SKILLS
MS Excel, VBA, R
*These models are part of Credit Suisse’ IMM application for PRA this year
Contact this candidate