Abhishek Kumar Rao

• Market risk scenarios reporting (for Credit spreads on bonds, SN CDS, loans, CDS index, CDS Swaptions, Loan TRS and other plain vanilla and OTC traded credit instruments) to Trading desks, assist senior management and market risk managers to understand the impact of a series of shocks on the sensitivities of underlying risky positions and the vulnerability of loss under adverse market scenarios

• PRA Firm Data Submission Framework (FDSF) Stress testing for Single assets and Multi assets (correlation-based) scenarios
• FINMA Loss Potential analysis (LPA)
• SNB Building block stress testing
• Internal Stress testing scenarios - Capital Allocation and Risk Management Committee (CARMC)

• Climate Risk

  • Periodic Full Revaluation (FR) and Partial Revaluation (PR) shocks set up in the systems for obtaining scenario PNL based on FR or PR for different scenarios
  • Monitor risk exposures and understand the key factors that drive the risk and P&L on the books to highlight it to the stakeholders with appropriate commentary.
  • Work with complex trading and market risk information systems, internal Oracle-based databases (SQL), Visualization tools like QliksSense to extract the required trade information for reporting
  • Participate in a wide range of ongoing and new projects in Risk management, Risk Intelligence, and Automation of Scenarios reporting infrastructure to ensure a smooth data flow from Front office feeds to the reporting platforms in compliance with the BCBS framework.

• Designing and working with financial models for discounted cash flow, market multiple, bond valuation, option pricing and valuation of structured products like Market Linked Debentures (MLD). Utilizing excel to streamline manual pricing.
• Gathering and managing data relevant to the engagement, analyzing and inputting the data into financial models, and communicating the status of data with other members of the department.
• Performing research on economic, industry and market trends impacting the specific entity being analyzed.
• Performing weekly and monthly valuations for multiple clients and ensuring precise and timely delivery of valuation.
• Preparing and presenting the results of our analysis in a clear and concise manner.

Responsible for performing valuations and completing an Independent Price Verification of Interest Rate, FX, Credit, Volatility, Commodity derivatives, and hard to price securities for clients globally. This role provides a unique opportunity to work closely with a wide range of derivative instruments traded by hedge funds,

• Run pricing models to independently value derivatives held by our hedge fund clients
• Analyze and compare derivative position’s valuations, inputs and models. Research OTC pricing exceptions and variances. Work with clients on resolving price challenges, answering valuation questions
• Involvement in testing new internally developed pricing models and system enhancements
• Should be able to understand current financial models in use and provide one-off modeling needs
• Improve pricing processes and infrastructure
• Assisting other teams with OTC instrument and trade loader setups
• Understand the basics of industry/accounting guidance and assist with incorporation into pricing processes
• Researching markets, conventions and reporting standards