The London School of Economics and Political Science (LSE)

Indian Institute of Technology, Kharagpur

Strat  -  Python  -  Derivatives  -  ML

Developing Athena Query Service (Realtime Trade Management blotter service for the global markets business)
Currently working on improving application availability, scalability, telemetry and modernisation.

J.P. Morgan

Lead Software Engineer

Lead developer for first line-of-defence control frameworks for global trading activity for the bank. Implemented frameworks include large transaction detection and market conformity breaches for traded financial products. 
Co-developed an inventorization and workflow management App for Model Risk Management
organization within the bank to systematize their various tasks and processes.The back-end of App consists of a layered architecture having a presentation, business, workflow and persistence layers. The business performs various transformations and calculations. The workflow layer maintains workflow state complex permissioning logic

Tech stack includes python, sql, C++, relational and non relational databases. Source control and issue tracking via Git

Deutsche Bank

Quantitative software developer - Group Strategic Analytics

Trading book market and counterparty risk exposure calculations 
Quant for the FRTB Default Risk Charge (DRC) project.  DRC is a simulation engine to calculate capital for default and recovery risks arising in credit and equity exposures in the trading book. Based on Monte Carlo multi-factor model
Prototyped the Monte Carlo simulation engine in Python and wrote parts of the production code in C#. The simulation engine generates 1,000K sims in a multi-period setting for about 20K corporates to calculate the capital charge
Calibrated the factor model on about 20K equity time-series in R 
Calibrated a stochastic recovery rate model in C# using Moody’s default and recovery dataset
Coded analysis tool in Python to analyse DRC charge behaviour and sensitivity for about 100 trading desks 
Developed an autoencoder neural network using tensorflow for proxy time-series selection required for market risk calibration
Developed a capital add-on in python for repo deals to account for missing risk factors in the existing capital model. It involved developing a quantitative methodology based on about 15K bond issues.  
Exotic derivative deal analysis and initial margin calculation across asset classes

BNP Paribas

Quantitative Researcher and Developer

Counterparty risk modeling based on stochastic models using Monte-Carlo method. Work fairly independently to define dynamics of underlying risk factors, compare theoretical model with empirical distribution, perform sensitivity analysis to market data and model parameters, benchmark to alternate models, unit testing, determine impact of un-modeled risk factors on exposure measures, design appropriate hypothetical portfolios to back-test the model using FO pricing tools and FO market data. Experience in G10 interest rates and European commodities markets. Work closely with credit risk officers, FO quants, risk IT and FO IT.
1st rotation: Counterparty Risk Analytics: Worked on Basel III and other Regulatory Risk Projects including Wrong Way Risk methodology. Worked on Component VaR calculation. Analyzed Pre-settlement Exposure limits for various asset classes. Ad hoc research work for the team.
2nd rotation: G10 Rates and FX Market Risk Management: Deepened knowledge of Interest rates/cross currency/basis/asset swaps. YC, Risk managed Sterling Rates trading desk. Looked at Greeks and P&L attribution reports. Prepared market commentary for G10 Rates and FX markets. Worked on performance benchmarking project for Citi Trading portfolio. Performed return analysis on G10 Rates portfolio.
3rd rotation: CVA and Credit Trading Market Risk Management

Citi

Quantitative Analyst

Worked in credit risk management. 
Estimated Transition matrices from S&P credit ratings
Estimated credit ratings and spread based correlations across regions and sectors
Contributed in the development of a macro stress testing model.
Estimated transition matrices using default probability curves using non-linear optimizations.
Clients included Central Banks, Insurance companies etc.

Risk Control Limited

Analyst

Worked with hedge funds credit risk management team. Attended due diligence meetings with hedge funds.
Prepared guidance document on various hedge fund strategies covering several asset classes viz. credit derivatives, fixed income &amp; equity derivatives including their risk/return profiles, leverage &amp; liquidity ratios and sample trades.  
Worked closely with equity prime finance, credit trading and risk analytics teams to understand various risk exposures.
Performed stress testing and wrote VBA macros to generate summary reports. 
Prepared research report on the ‘EU AIFM Directive’.

Summer Analyst

Developed server side and front end trade flow applications for Equity Swaps desks based in London and Hong Kong.

Icarus Gupta