Title

Head of Traded Risk Model Developer, Financial Risk & Analytics Lead, D12 (Director)

Overview

  • Serving as the head of Traded Risk Model Development, I built and led the team of Quantitative Analysts in London and India. We focused on developing and enhancing traded risk models, with the aim of helping risk management and meeting regulatory capital requirements for the investment banking division at NatWest Markets.
  • Our responsibilities encompassed designing models through quantitative research, implementing and testing proposed models, and integrating user requirements. We liaised with our data and technology teams, addressed challenges from model reviews, and sought regulatory approvals.
  • The team specialised on the models for market risk (VaR, RNIV, IRC, FRTB-related metrics) and counterparty credit risk (EPE, PFE, CVA, SIMM) on portfolios covering all asset classes with focus on rates, inflation, FX and credit spreads.
  • Python, C# and Matlab were our tools for implementing and testing our models.
  • I coordinated risk quant activities on bank-wide projects, such as FRTB, SIMM, and RFR transition.
  • I represented the firm in model inspection meetings with regulatory bodies (PRA, US Federal Reserve) and in industry-wide working groups.
  • Apart from fulfilling my administrative obligations, I also made sure to be fully involved in modelling and coding, dedicating at least 50% of my time to these technical tasks. See here.

Noteworthy Works

Outlined below are some significant examples of my technical work, listed in chronological order.

Time series outlier detection and filling (2013)

  • Description:
    • Formulated algorithms for detecting outliers in time series data and devised methods for their correction
    • Created a GUI application to scan all time series quickly and apply the devised methods to historical data
    • Integrated the algorithms into the new market data system for continuous detection and correction.
  • Skills: statistical methods, linear algebra
  • Programming: C#, Winform, SQL

VaR for Securities Financing Transitions (SFTs) (2013)

  • Description: Developed an overarching methodology for measuring potential future exposures to repo-like products
  • Skills: market risk VaR, collateral/margin
  • Programming: Matlab

Fundamental Review of Trading Book (FRTB), Standardised Approach (SA) (2015-2016)

  • Description:
    • Made significant contributions to the ISDA FRTB working group, particularly on the standardised approach (SA). Also provided valuable feedback on early drafts of the BIS FRTB articles and collaborated with other industry members to propose alternative methods to regulators.
    • Implemented SA within the firm, took part in the quantitative impact studies, and conducted impact tests for the firm.
  • Skills: regulatory advocacy, training and presentations
  • Programming: C#, Excel

Credit VaR (2015-2016)

  • Description:
    • Developed a new model for forecasting credit spreads (bonds, CDS, CDS indices) for both market risk and CVA VaRs.
    • The new model addressed all significant weaknesses of the existing model, resulting in a significant reduction in the capital charge and allowing the firm to retain the model permission (IMA).
  • Skills: systematic plus idiosyncratic framework, robust regression, cross-section method, curve fitting, PCA, time series construction, variance calculation, backtesting
  • Programming: C#, Matlab

ISDA Standard Initial Margin Model (SIMM) (2016-2017)

  • Description:
    • As the firm’s representative, I was actively involved in the industry-wide model development process through ISDA, and held a position on the Executive SIMM committee.
    • Devised a firm-specific methodology and implemented the SIMM.
    • Designed and executed a model management framework including backtesting
    • Represented the firm in the model approval process with the US Federal Reserve
  • Skills: industry engagement, regulatory advocacy, risk sensitivities, reconciliation, variance calculations
  • Programming: C#, Matlab

Sovereign Bond VaR (2018-2019)

  • Description:
    • Developed a new VaR model for forecasting bond spreads of G11 sovereign debts, factoring in basis risks due to differences in bond types (conventional fixed, inflation-linked, strips, floater) and ages (on-the-run, vantage).
    • Remediated a material RNIV, resulting in larger RWA saving.
  • Skills: curve fitting using B-splines, robust regression, time series construction of bond curves from ISIN-level data, risky bond pricing model
  • Programming: C#, Python

FRTB Expected Shortfall (ES) (2019)

  • Description:
    • Co-authored a firm-specific methodology of calculating ES under FRTB, specifying how to incorporate liquidity horizons and reduced sets.
    • Directed team members to the implementation of calculation models.
  • Skills: interpretation and application of regulatory guides
  • Programming: C#, Python

Backfilling risk-free-rate (RFR) curves on Securitised Overnight Financing Rate (SOFR) (2021)

  • Description: A part of RFR transition project, I developed a method to backfill historical time series of new SOFR swap curves, set up a monitoring framework and achieved regulatory approval.
  • Skills: exponentially weighted moving average (EWMA) filtering, regression, curve building from futures

Incremental Risk Charge (IRC) (2021-2022)

  • Description:
    • Developed a new IRC model to resolve outstanding model weaknesses while seeking new regulatory approval.
    • Made sure the model was easily configurable to function in the Default Risk Charge (DRC) mode, aiding the firm in the FRTB IMA approval submission.
  • Skills: Merton’s framework to model migration and default events, multi-factor model for credit worthiness, parameter estimations using historical migration/default data, cross-section method, robust regression, robust correlation estimation, allocation, Monte Carlo simulation
  • Programming: Python

Risk-Not-In-VaRs (RNIV) Automatisation (2022)

  • Description: Fully automatised the calculation process of several material RNIVs to run on a daily basis (from monthly).
  • Skills: Python, Scheduler, Confluence

FRTB Presentations