Resume Risk
Resume:
Suresh Dingare
acxooq@r.postjobfree.com
New Providence NJ 07974
Experience working with Credit Default swaps, CDOs, FTDs and derivatives in other asset classes,
Have M. S. (Statistics, including Probability Theory), B. S.(Math) FRM, Done M. S.- level work in Applied Math, Experience working in Basel III Counterparty credit risk projects relating to DF Act S. 165- re single counterparty exposure limits
Calculated and reported Current Exposure, Expected Exposure, Potential Future Exposure, EAD, EEPE for each counterparty, calculating probability of Default from par spreads, info on ratings, netting status etc.;
Experience in RWA calculations for different types of exposures.
Was Lead BA on a flagship Basel III Counterparty Credit Risk project-Specific Wrong Way Risk project,
Have worked on a CCAR/DFAST project and on SR 11/7-Model Control and Model Risk Uncertainty,
Experience with CVA, ICAAP: currently on CVA project,
Have M. S. (Statistics, including Probability Theory), B. S.(Math) FRM, Done M. S.- level work in Applied Math,
Set up for each counterparty info such as info on ratings, netting status etc, netting status (bilateral netting agreement) etc., Analyzed proposed trade by calculating VaR and exposure with and without new trade,
Have traded Fixed income Derivatives such as Interest rate swaps, FRAs, swaptions, caps etc
Have strong experience implementing credit risk computations, Basel II, 2.5 and Basel III, IMM, CEM etc.
Experience in counterparty credit risk, potential future exposure for OTC derivatives, Dodd Frank Act, SFEs, OTC Derivatives Clearing, CCPs, real time reporting, SIFI (Systemically Important Financial Institutions), moderate familiarity with CDO Suite.
Excellent domain knowledge in all asset classes
Have experience setting up models for valuation of barrier options using binomial trees in Excel/VBA. Additionally, have priced derivatives using vendor software as well as in Bloomberg. Excellent skills in Excel Macros, VLookup functions.
Strong SQL skills (SAS, Sybase, Oracle, MS Access),
Experience in counterparty credit risk issues; Insights into CVA as the difference between risk-free and true value of a position and regulatory provisions relating to these. Insights into DVA, FVA. Deep insights into counterparty credit risk measurement. Familiar with regulatory requirements (Fed, BIS) regarding these issues.
Supported FO re CDS valuation, providing CS01 info.
Experience calculating PD from spread. Have exposure to ISDA, CSA, Markit par spreads for valuing CDSs.
Quant experience in sensitivity, valuation, VaR, EEPE calculations
My very significant BA experience (over 10 years) covered all aspects of SDLC-writing of BRD, Functional Specs, UAT participation etc. My participation very often represented my ideas and approach to solving the problem and not merely an interpretation of Modelers’ to Software groups,
Have practical familiarity with the sensitivities (delta, gamma, vega) of derivative prices to Underlying Prices and vols of portfolios and have done trouble-shooting of queries in regard to their reasonability.
Have traded forward FX, Interest rate swaps, cash Eurodollars, FRAs, Eurodollar and 2-year note futures.
Have M. B. A. in Finance/Accounting from Kellogg Graduate School. Completed training in SAS.
Technology Experience/Skills
Used Monte Carlo technique,
Expert in Excel, VLOOKUP, IF, Pivot tables, filter, sort functionalities.
Experience writing SQL queries in databases such as Sybase/Oracle/Access/SAS.
Have extensive exposure to Front Arena a SunGard application similar to Calypso.
Have worked with BO Accounting Software Actuate and Middle-Office application Mosiki. Have experience of reconciling FO positions and their valuation with BO positions and their valuation.
Have experience in MS Power Point, JIRA, Mercury Test Director Visio, Word
EXPERIENCE
Wells Fargo, New York Contractor-Business Analyst, CVA Project Jun 2016-Present
Participated in all new CVA initiatives across all asset classes; Reviewing numbers produced, in relation to regulatory requirements; interacting with FO and Quant team. Investigate major contributors (both by Counterparty or by input type) to overnight changes in CVA, and perform CVA-Explain tasks including changes in recovery rates, PDs, UL portfolio etc.
Credit Suisse, New York Business Analyst, Controls re Market Risk Aug - Nov 2015
Performed Business Analysis for Market Risk Controls to achieve compliance with IHC regulations and relative DF regulations
HSBC, New York Contractor Regulatory Business Analyst, Quant Model Group Oct- Dec 2014
Worked on CCAR/DFAST project -- Model Risk Review, Model Risk Uncertainty and Model Risk Charge for VaR/SvaR, Incremental Risk Charge, OCI, OTTI, models to achieve compliance with Fed Guidelines SR 11/7 on Model Risk; Worked on project to produce CVA numbers for trades,
Mapping of less liquid CDS positions to Indexes
Wrote Model Risk Review Reports.
Worked on FR Y14A and FR Y14Q relating to Income, PPNR etc.
Bank of America, Jersey City, NJ Quant Business Analyst- (Contractor) June – Aug 2014
Worked in Prime Brokerage Technology Group for Exposure and Margin computations for clients, mainly Hedge Funds.
Wrote BRDs; Worked on Prime Brokerage related margin calculation and reporting at margin group level
Mapping of less liquid CDS positions to Indexes
JPMorgan Chase, New York Lead BA, Market Risk Technology, May 2013 –Mar 2014
Developed and Implemented improved market risk metrics such as VaR for Variable Period Lookback, VaR relating to liquid and illiquid market data,
Calculated PD for CDS positions from the quoted par spreads,
Mapping of less liquid CDS positions to Indexes,
Provided Probability of Default and Exposure info for counterparty credit risk, Worked on project to produce CVA numbers for trades,
Built risk analytics for portfolios and did backtesting at various granularity levels,
Implemented several BAU projects related to market risk such as calculating VaR for a new feed, changing Curves used by certain portfolio for calculating VaR, or identifying whether a trade is identified as a hedging trade or otherwise.
Calculated, per Basel III, Current Exposure, Expected Exposure, Potential Future Exposure for various portfolios
Familiarity with MaRRS, producing VaR at different level of granularity-by portfolio, by source system, by risk currency, by product, at specified confidence levels and for specified holding period
Business Analyst and Change Manager Bank of America, New York Mar 2012–May 2013
Performed BA functions (BRD, Functional Specs, stakeholder meetings) for project: Specific Wrong Way Risk-Basel III-Identification, flagging, RWA and capital computation by different methods, per Basel III and Fed rules, Insights into margin computations, derivatives clearing etc.
Worked on Dodd Frank Act S.165(e) issues relating to single counterparty Credit Risk Limits for OTC derivatives, netting sets, collateral management etc.
Worked on CVA, DVA, FVA - related issues,
Worked on issues related to Current Exposure Method, Internal Model Method for Counterparty Credit Risk Measurement, Exposure at Default, Effective Expected Exposure (EEPE), RWA etc.
Analyst/BA, Market Risk Change RBS London, UK &Stamford CT, July 2010–Oct 2011
Built risk analytics for portfolios and did backtesting at various granularity levels,
Performed gap analysis of current implementation of Basel II with FSA’s requirements laid out in BIPRU regulations
Insights into CVA capital and regulatory requirements relating to ICAAP and CCAR initiative,
Reviewed current implementation (Basel II) for VaR against guidelines following FSA requirements,
Calculated, per Basel III, Current Exposure, Expected Exposure, Potential Future Exposure for various portfolios. Worked on plans for Basel 2.5 in respect of IRC (Incremental Risk Charge), SVaR etc.
Gathered requirements and wrote functional specifications for 3 projects, interacting heavily with users, Actively managed ‘VaR Explain’ project, and its sequel project as well, wrote test cases, participated in UAT, made training presentations, wrote user manuals, updated Requirements Traceability Matrix,
Credit Suisse, New York City Support Analyst FX Options July 2009 – May 2010
Addressing valuation, Greeks, VaR, Stress-test-impact and position related queries in respect of options and other positions,
Used Monte Carlo technique to value American options,
Built risk analytics for portfolios and did backtesting at various granularity levels,
Quant experience in leading sensitivity and valuation calculations
Addressed issues relating to valuation and VaR issues related to OTC products (Bonds, Swaps, FRAs, caps etc.) and to Futures and Options on currencies, interest rates, CDS Indices etc.
Dealing with valuation curves and parameter issues in WSS-Wall Street Systems as well as several in-house built applications for valuation and for enabling trading in forwards, options, in large trade volume.
Product and Risk Specialist IFS, NY (Hedge Fund Administrator) April 2007 to Aug 2008
Managing client issues relating to Front Arena application of SunGard (Application similar to Summit/Calypso)
For all Hedge Fund clients, calculated Expected Exposure and Potential Future Exposure for each counterparty; identified status re ISDA and CSA documents with different counterparties
Used Monte Carlo simulations for valuing derivatives. Supported FO re CDS valuation, providing CS01 info.
Built risk analytics for portfolios and did backtesting at various granularity levels,
Set up for each counterparty info such as current and Potential Future Exposure, Probability of Default (reflected in current par spreads), info on ratings, netting status etc, netting status (bilateral netting agreement) etc., Analyzed proposed trade by calculating VaR and exposure with and without new trade,
Performed trouble-shooting relating to client- queries relating to valuation of Interest rate, FX, Equity, derivatives (primarily for OTC instruments) done by Vendor system by performing these valuations on Bloomberg or alternative systems or in a spreadsheet.
Calculated risk-neutral default probabilities implied by prevailing par spreads of CDSs.
Business Analyst, UBS, Stamford, CT Feb 06 to March 07
Worked in Prime Brokerage IT group,
Analyzing data relating to Exchange Traded Derivatives spread over different applications, mapping relevant items from Swiskey-based data to regular database tables.
Assigning risk sector based on ticker, exchange and market sector on BB, for all positions in the system (which is very large). Assigned risk sector to 90000+ positions in derivatives.
Calculated PD from CDS spread
Business Analyst, Lehman Brothers, Jersey City, NJ Aug 2005- Feb 2006
Used my skills in Excel/VBA for valuation of derivatives including equity options, caps, CDS floors, FX Exotics.
Worked on VaR (Market Risk) related projects to determine Market Risk of and impact under defined stresses for portfolios containing derivatives of different types and on different underlyings.
Manager, GlobeOp, Harrison, NY Risk Management Group Nov 2003- Aug 2005
For all Hedge Fund clients, calculated Expected Exposure and Potential Future Exposure for each counterparty; identified status re ISDA and CSA documents with different counterparties
Produced VaR of client portfolios with different parameters and resolved client issues relating to them
Reviewed sensitivities (delta, gamma vega etc) of individual positions and resolved issues relating to them
Produced sensitivity reports at instrument and portfolio levels. Solved client issues re VaR by Historical or Monte Carlo simulations.
Was responsible for PnL numbers for individual positions in cash and derivative instruments. Was also responsible for reconciling the positions/PnL between FO and BO.
Reviewed valuation of derivatives based on UL prices and parameters such as maturity, strike and at time unobservable parameters such as vols for illiquid products. Dealt with products traded on Chicago Mercantile Exchange, LFE etc.
Wrote SQL queries to form subsets meeting specified criteria.
Used SAS/Risk Dimension for various steps(loading static data, price data)in VaR reports.
Manager Enterprise Risk, KeySpan Energy, NYC Jul 2002- Jul 2003
Calculated risk adjusted rate of return on proposed power generator investments
Stress testing Analyst, Risk Analytics, Williams Energy Trading, Tulsa, OK Oct 2001-July 2002
Collected Greeks of energy instruments in different portfolios.
Vice President, NetRisk, Greenwich, CT Aug 2000- Apr 2001 Wrote VBA/Excel routines to calculate VaR and the greeks of clients’ interest rate trading portfolios, in particular for Mortgage backed securities.
Calculated potential exposure of a bank to counter parties for a derivative trade.
Risk Specialist (Model Validator) NY State Banking Dept (NYSBD) Jun 1998-Aug 2000
Reviewed Market Risk(VaR, Stress testing) practices at major banks; Credit VaR and Capital calculations,
Was lead analyst in investigations into counterparty credit risk practices of money center banks with hedge funds in the aftermath of LTCM debacle in 1998
V. P. &Manager, Arbitrage Group (Money Market Trader) Erste Bank, New York 1990-1998
Ran an arbitrage portfolio ($4.5 billion, average profit $4 million) between FRAs and forward FX. Traded derivatives such as options on Eurodollar futures, interest rate swaps, FRAs, forward FX; produced cheap liabilities and higher yielding assets, hedging FX risk.
V. P & Manager Fixed Income Trader Banca Commerciale Italiana, New York 1982-90
Traded Eurodollar futures, FRAs, Interest Rate Swaps, cash Eurodollars
EDUCATION and Distinctions
Northwestern University, Kellogg Graduate School, Evanston: MBA (Finance and accounting).
Have completed FRM (Financial Risk Manager) certification.
M. S. in Statistics and B. S. in mathematics-with perfect scores in Probability and Geometry respectively
Rutgers University, New Brunswick, NJ Completed all 10 courses required for M. S. degree in Applied Mathematics, with only master’s dissertation left incomplete.
Delivered several talks on market risk methodologies and wrote a few user manuals, led project meetings.
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