FNU VIKRANT adg4h6@r.postjobfree.com

**** ********* **., **** *** York, NJ-07093 +1-513-***-****

EDUCATION:

Goldey Beacon College Wilmington, DE

MBA concentration in Financial Management (G.P.A – 3.85) June 2019 – Present Rutgers Business School Newark, NJ

Master of Quantitative Finance (G.P.A. - 3.8) August 2014 – May 2016 Indian Institute of Technology (IIT) Roorkee, India Bachelors in Technology in Pulp and Paper Technology July 2007 – May 2011 EXPERTISE:

Domain: Financial Analysis, Market Risk Analysis, Portfolio Analysis, Financial Model Assessment, Data Analysis Functional: Statistical Modeling, Econometrics, Time Series, Simulations, Scenario building, Machine learning and Stress testing Technical Skills: MS Office, Excel, Python, R, SQL, VBA, PolyPaths, Bloomberg Certifications: Passed FRM Level II; Passed Chartered Financial Analyst (CFA) Level III WORK EXPERIENCE:

Bank of America (Contract) New York, New York

Quantitative Analyst (Model Developer in Global Market Risk Analytics Team) September 2019 – Present Working as a Quantitative Analyst responsible to assess margin and risk models used in prime brokerage and derivative trading business covering various asset classes including Equities, FX, and Rates.

Resolution Planning (Hedging) - Assisting in planning for resolution and winding down scenarios in case the Bank files for bankruptcy and bilateral trades are broken with counterparties, and trades need to be hedged in the listed/cleared markets.

RNiV (Risks Not in VaR) Modeling Categorization – Assisted in developing a framework for reviewing the data quality of financial time series for all RNiVs. Based on the data quality, appropriate modeling categories are assigned to each RNiV.

Margin Models – Assisting in enhancing the scope of margin models for Prime Brokerage business of the Bank including calibration of shocks for the corresponding risk factors. Ernst & Young LLC New York, New York

Senior Quantitative Consultant April 2018 – June 2019 Worked as a Consultant responsible to solve the client’s risk management issues, drive business efficiencies, and model risks in their portfolio. Provided quantitative expertise related to the development and validation of financial models.

Assisted a global bank (FHLB Indianapolis) in validating the market risk vendor model (PolyPaths) for interest rate products and MBS according to regulatory guidance by SR 11-7. Also, benchmarked a sample of the portfolio with Bloomberg and FinCAD.

Assisted an asset management firm (Blackrock Inc.) in reviewing their model validation framework. Reviewed three validations of models including transaction cost, asset allocation and VaR model according to regulatory guidance by OCC 2011-12.

Worked on an internal research project to develop a machine learning framework for capturing trading manipulations like spoofing and layering in the markets using Python language Federal Home Loan Bank (FHLB) Cincinnati, Ohio

Quantitative Risk Analyst II January 2017 – April 2018 Worked as a Quantitative Risk Analyst responsible for modeling, monitoring and enhancing haircuts for securities and whole loan portfolios. Responsibilities also include generating credit and market risk reports.

Whole Loan Haircut Modeling - Implemented MIAC model and built a benchmark model to value collateral market value under a suite of simulated stochastic and deterministic (including CCAR) scenarios to calculate haircuts

Securities VaR Modeling – Built a historical simulation VaR model to calculate haircuts of more than 30 different securities using hidden Markov regime switching model (leveraging recession indices) for multiple holding periods

Scenario Generator – Assisted in building an in-house scenario generator to simulate potential macroeconomic scenarios, which were used by the loss forecasting model for collateral portfolios. These scenarios were also benchmarked to CCAR scenarios. Genpact LLC Richardson, Texas

Risk Analyst August 2016 – January 2017

Worked as a Risk Analyst responsible for validating and enhancing the credit risk models of the auto lease and auto lending portfolios during the CCAR exercise using SAS toolsets

Credit Risk Modeling - Manipulated a large data set and applied advanced time series techniques along with cluster analysis and stepwise regression to find the dependence of probability of default (PD) of the portfolio on macroeconomic variables

Validation road map - Proposed and designed an end to end work plan which could be used for the validation of similar models Garrett Asset Management New York City, New York

Quantitative Research Project June 2015 – August 2015 Collaborated with Managing Director of the firm in developing a trading strategy using VIX index futures signals. Researched different volatility products, wrote code in R and backtested strategies based on proprietary parameters. Capstone Securities Analysis Private Limited Pune, India Associate Trader December 2011 - April 2013

Managed risk on daily returns, sizing position based on volatility and liquidity

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