Senior Treasury Analyst ALM Candidate

ANUP MISHRA

**** **** **. #*, **********, OH ****2 513-***-**** *******@******.***

SUMMARY

• Risk & Finance Analytics Manager with 12+ years of diverse modeling experience across Credit, Market, Interest Rate Risk

• In-depth experience and expertise of Stress Testing, Loan Loss Reserve requirements, Economic Capital and Risk-adjusted profitability and Asset & Liability Management PROFESSIONAL EXPERIENCE

Fannie Mae 11.2023 – 05.2024

Internal Audit – Quantitative Modeling – Senior Associate:

• Conducted a live Audit of the Stress test including NII forecasts in QRM

• Participated in the MSR MRA Audit issued by FHFA

• Conducted a risk assessment of Climate Risk models – including Moody’s RMS Inland Flood Model, and FEMA NRI PNC Bank, Pittsburgh, PA 04.2018 – 05.2022

ALM Associate Director – Balance Sheet Analytics: 03.2021 – 05.2022 Responsible for developing a new Capital Requirements metric to be used in the Risk-adjusted profitability framework at PNC to replace Economic Capital, while maintaining and running the existing Economic Capital framework in the interim

• Led a team of modelers to develop and implement a credit risk capital requirements metric based on Stress Test and Loan Loss Reserve Requirements that replaced Economic Capital in the Economic Profitability Framework at PNC, working closely with Lines of Business

• Led the documentation and validation process for new metric and framework.

• Phased out Moody’s RiskFrontier in June 2021, thereby saving the Bank $2MM annually

• Until June 2021, managed and maintained the production process for the existing Economic Capital Framework, using Moody’s RiskFrontier, including model governance requirements Vice President, Credit Portfolio Management: 04.2018 – 03.2021 Responsible for running, maintaining, and enhancing the Economic Capital framework at PNC and providing required outputs to lines of business for Portfolio Management. Also, developed an Economic Profitability grading system

• Managed quarterly Economic Capital production process, including Capital Committee and line of business reporting and presentations, model governance, ad hoc analysis to support Portfolio Management

• Developed a new Credit Risk Economic Profitability grading system to promote a holistic view of Portfolio Management

Fifth Third Bank, Cincinnati, OH: 07.2009 - 01.2017 Vice President, Economic Capital Manager: 07.2015 - 01.2017 Responsible for the Economic Capital program (Credit, Market, Business and Operational risks) at Fifth Third Bank. Guaranteed timely delivery of quarterly production estimates, Capital Report, LoB reports and EC factors for RAROC, as well as estimates under all CCAR scenarios: Identifying and using the appropriate PPNR- forecasted Income Statement line items to derive stressed Operational and Business Risk EC, and Balance Sheet forecasts for stressed EC estimates for all other risk types

• Implemented residual P/L volatility-based Business Risk EC model

• Revised Commercial Credit Risk EC model in QRM Enterprise Risk framework using product/segment level risk factors & default correlations estimated using internal default data

• Modeled and implemented PD, LGD & EAD models for all Retail products in MATLAB

• Managed a high-performing team of four quantitative analysts

• Managed the Commercial Credit Risk-adjusted profitability system DealPoint Solution

• Worked closely with Treasury on Interest rate risk Economic Capital Credit Risk Analyst: 07.2009 - 07.2015

Responsible for modeling and implementation of Credit and Market risk EC models in QRM Enterprise Risk framework.

• Developed and implemented a multi-factor Merton-type Credit Risk EC model for the Wholesale portfolio in the QRM Enterprise Risk framework

• Recalibrated the Interest Rate risk model parameters for low-rate environment

• Stochastic, econometric, logistic models for Retail portfolios in MATLAB

• Advanced approach to Business Risk modeling based on Residual P/L volatility

• Developed and implemented Commercial Credit, Operational and Business Risk EC allocation methodologies for RAROC

Deutsche Bank, London, UK: 06.2008 - 08.2008

Summer Associate, Global Markets - Sales & Trading

• Global Rates Trading (Options and Bond Futures), and Quantitative and Indices Research including calibration of stochastic volatility models, and development an index based on momentum strategy Max Planck Institute for Solid State Research, Stuttgart, Germany: 01.2005 - 12.2006 Postdoctoral Research Fellow

• Research included the development of one-dimensional lattice model(s) and explanation of experimentally observed optical properties of transition metal chain compounds EDUCATION

Certificate of Completion – Data Science & Machine Learning

• MIT Schwarzman College of Computing, Boston MA

Master’s, Computational Finance

• Carnegie Mellon University, Pittsburgh, PA : 06.2007 - 12.2008 University of Cincinnati, Cincinnati, OH

• PhD Physics: 06.1998 - 12.2004

• Specialized in Condensed Matter Physics of Transition Metal Oxides Indian Institute of Technology, Kanpur, India

• Master of Science, Physics: 06.1994 - 06.1996

SKILLS

Expert computing skills, including:

• Operating Systems: Windows, OS X, Linux, Unix

• Languages/Packages: Toad (Oracle), Microsoft Office, SAS, MATLAB, R/S-PLUS, C/ C++, Python

• Specialized analytics and reporting software: RiskFrontier, QRM, Hyperion, TM1, DealPoint Solution, TeamMate+

Contact this candidate