Suresh *****
s*****@*****.com
114 Burlington Rd
New Providence NJ *****
(908) ***** ®
(908) ***** ©

• Have Regulatory risk experience including capital calculations, Basel II guideline-Pillars I- III: Minimum capital requirements, supervisory view of adequacy of capital with reference to risks not covered in Pillar 1, and Market Discipline
• Insights into Basel III’s Liquidity Coverage Ratio(LCR) and Net Stable Funding Ratio (NSFR) due for implementation in 2013
• Insights into Basel III: provisions relating to both quantity and quality of capital: Countercyclical Buffer(from 0 to 2.5%), increase in minimum common equity requirement from 2% to 4.5%, higher capital requirement for proprietary trading etc.
• Developed Familiarity with Dodd Frank legislation regarding derivatives regulation and reporting of swap price and volume data to a real time disseminator and additional capital requirements for systemically important financial institutions(SIFI)
• Have strong experience in Market Risk (Particularly VaR, Marginal VaR, and stress tests) derivatives valuation.
• Experience includes dealing with derivatives in Credit, Fixed Income, FX, Equity. Have practical knowledge of different VaR methodologies (VCV, HS and Monte Carlo), with their limitations and pros and cons. Produced sensitivities (delta, gamma, PV01, CR01) reports and interpreted them.
• Regulatory experience includes capital calculations,
• Extensive experience using Bloomberg. Also used Reuters, Markit data.
• Familiarity with Volcker rule restricting proprietary trading or sponsoring of private equity or hedge funds,
• Have interacted regularly with IT Groups to ensure that there is clarity of understanding in terms of exactly what is expected to be delivered by them.
• Have calculated PD from CDS spread
• Have worked as Support Analyst for Exotic FX Options
• Familiarity with EAD, LGD, pricing of CDS, role of correlations, FTD etc
• Have insights VaR calculations at instrument and portfolio levels and the role of correlation. My credit risk experience includes Potential future exposure calculations for OTC derivatives. Have FRM certification.
• Have extensive experience Bloomberg derivatives valuation routines, including caps, floors, swaptions, CDSs, Convertible bonds. Have exposure to Markit par spreads for valuing CDSs.
• Have experience reviewing risk reports and analytics for derivatives in Fixed Income, Equity, FX and Credit.
• Also have experience of counterparty credit risk for OTC instruments in client portfolios.
• Have Fixed Income cash and derivatives experience – (both Front Office and Middle Office)modeling Interest Rate swaps, FRAs, forward FX, Eurodollar futures etc. Have acted as Support for Front Office, resolving pricing, valuation issues for diverse instruments.
• 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 and Eurodollar futures.
• Have M. B. A. in Finance/Accounting from Kellogg Graduate School.
• Have used Oracle/Sybse and SAS databases and SQL in SAS. Experienced in SAS Risk Dimension software.

Technology Experience/Skills
• Experience writing SQL queries in databases such as Sybase/Oracle/Access..
• Have extensive exposure to Front Arena a Sungard application similar to Calypso.
• 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. Have PERL experience.
• 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 Office tools such as MS Power Point, Visio, Word.
• Have experience using Mercury Test Director extensively.
• Have used Excel (10 years+) for valuation of derivatives including American options.

EXPERIENCE
Business Analyst, Market Risk RBS Stamford CT, July 2011–Oct 2011

• Working on Market Risk issues, particularly FSA’s CP11_06
• Analyzing issues related to VaR waiver requirements, reviewing Stress Testing, back testing, risk management standards. governance for non-EEA subs
• Developed familiarity with Dodd Frank legislation; attended a seminar relating to it.
• Used SQL(Sybase, Oracle, Excel)

Business Analyst, Market Risk RBS London, June 2010 – June 2011

• Implementation Of Basel II. Reviewing current implementation for VaR Model guidelines testing against guidelines following FSA requirements in respect of testing for stresses, backtesting, validity of VaR calculated using sensitivities in comparison to full revaluation testing.
• Made presentation re market risk issues to coach them in use of newly developed tools; wrote user manual
• P&L Testing as part of Backtesting of VaR Model testing,
• Participated in initiatives re with standards for liquidity, capital adequacy and leverage ratio laid down in to achieve compliance with Basel III,
• Have interacted regularly with IT Groups to ensure that there is clarity of understanding in terms of exactly what is expected to be delivered by them.
• Have conducted user training via conference calls on the use of new functionalities being introduced.
• Reviewing Market Data function so as to fall in line with FSA guidelines, covering issues such as data updates, functioning of proxies, backtesting of real and hypothetical portfolios to validate VaR model
• Integration of risk systems of subsidiary into risk systems of parent bank.
• Helping users with VaR Explain tool by interviewing users and writing functional specifications for functionalities such as tail average P&L for base and child nodes, correlation of tail P&L vector of parent node with tail P&L vector of each child node, marginal VaR of a node in relation to a parent node, by filtering for nodes, filtering by different filters such as legal entities, currency, risk factor etc.
• Creating information such as bifurcating Change in VaR due to change in positions and due to change in risk factor data sets, impact on VaR resulting from a hypothetical trade etc

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
• Understanding of derivatives trading systems such as Front Arena, Wall Street Systems,
• Completed 6 training modules relating to Equity Derivatives and Credit derivatives.
• Used VBA and Excel.
• Calculated and interpreted sensitivities such as delta, gamma, vega of portfolios of options.
• Have 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 (HF Administrator) April 2007 to Aug 2008
Managing client issues relating to Front Arena application of Sungard (Application similar to Summit/Calypso)

• Reviewed VaR by different methodologies (Monte Carlo Simulation, Historical Simulation), valuation of derivatives based on UL prices and parameters such as vol, maturity, strike-particularly vols for illiquid options. Have also compared with the approximations to daily PnL arrived at via Greeks. Investigated validity of values of parameters such as FX, interest rates etc. Also reviewed the historical price/rate data where an investigation is warranted.
• Understanding of derivatives trading systems such as Front Arena, Wall Street Systems,
• Used VBA and Excel
• Have dealt with Futures and Options on currencies, interest rates, Equities, CDS Indices etc.
• 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.
• Developed stress tests appropriate to portfolio characteristics.
• Have valued exotic options such as Down and In etc. by Monte Carlo simulation. Reviewed VaR.
• Have experience developing documentation to describe existing/proposed procedures. Delivered training
• Have experience writing VBA subroutines for pricing options, single- name CDS, WAL of MBS etc
• Dealt with illiquid derivatives in respect of issues relating to valuation, market and credit risk management & analytics process and systems relating to processes for producing such reports.
• Have valued FX options of different types-Shout options, barrier options etc.
• Calculated risk-neutral default probabilities implied by prevailing par spreads of CDSs.
• Set up Valuation Curves for CDSs and Vol curves for options.

Business Analyst, Prime Brokerage Group, UBS, Stamford, CT Feb 06 to March 07

• Analyzing data relating to Exchange Traded Derivatives spread over different applications, mapping relevant items from Swiskey-based data to regular database tables.
• Mapped positions with less than exact identifier information to known securities.
• 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 *****+ positions in derivatives.
• Wrote SQL queries to retrieve relevant information from DB.
• Participated in UAT testing.
• Calculated probability of default from CDS spread
• Familiarity with EAD, LGD, pricing of CDS, role of correlations, FTD etc
• Have understanding of CDO pricing, CDS/CDX, credit delta, modeling of credit risk.
• Have insights into Basel lI.

Business Analyst, Lehman Brothers, Jersey City, NJ Aug 2005- Feb 2006
• Used my skills in Excel/ skills for valuation of derivatives including caps, 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.
• Identified data required for calculation of VaR for different methodologies.
• Responsible for production and review of VaR for group of clients by specified methodologies and confidence levels at individual instrument and portfolio level.
• Produced and reviewed PnL impact on portfolios under specified stress scenarios at instrument levels.
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Manager, GlobeOp, Harrison, NY Nov 2003- Aug 2005 Was part of Risk Management Group
• 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.
• 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.
• Valued MBS/CMO/PAC securities; generated their cashflows from PSA speed, calculated Weighted Average life of MBS. Valued caps, floors 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
• 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.
• Identified data required for calculation of VaR for different methodologies.
• Responsible for production and review of VaR for group of clients by specified methodologies and confidence levels at individual instrument and portfolio level.

Stress testing Analyst, Risk Analytics, Williams Energy Trading, Tulsa, OK Oct 2001-July 2002

• 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.
• Wrote VBA/Excel routines for obtaining deltas, gammas and vegas of power, natural gas and natural gas liquids for over 10 books in different regions and different time buckets.
• Wrote spreadsheet to collect Greeks of energy instruments in different portfolios.
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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.
• Researched and developed familiarity with BDT and HW models of term structure of rates.
• Calculated the average life, duration and convexity of MBS. PAC, sequential CMOs under different PSA assumptions.
• 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 licensed banks (Bankers Trust, JPM etc), Capital calculations, Credit VaR calculations using my quantitative experience and skills.
• 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 *****

• 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.
• Implemented a vendor market risk computation system using RiskMetrics methodology.
• Implemented routine to spot arbitrage between interest rate futures and forward FX*****CATION
• 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
• Rutgers University, New Brunswick, NJ Completed all 10 courses required for M. S. degree in Applied Mathematics, with only master’s dissertation left incomplete..

MBA Norhtwestern's Kellogg Grad School ***** Finance
M. Sc. Univ of Bombay Statistics
FRM certification from GARP 1999

Have written user manuals and delivered talks on market risk methodologies and derivatives valuation