Abhay Kulkarni
Quantitative Risk Analyst at FirstRand Services Private Limited
- Role
- Quantitative Risk Analyst at Firstrand Services Private Limited
- Location
- Pune, MH, IN
- LinkedIn followers
- 500 followers
About Abhay Kulkarni
Experienced in Counterparty Credit Risk (CCR), Market risk stress testing framework of the Bank as part of ICAAP, Valuation of derivative instruments, CVA/ DVA adjustments for IFRS and US-GAAP, Independent margin for bilateral ISDA-CSAs, Margining for assets backed by financial collateral. Also experienced in managing operational risk for treasury operations.
Experience
Quantitative Risk Analyst
Firstrand Services Private Limited
Sep 2021 — Present · Navi Mumbai, IN
Led and provided hands-on quantitative market risk support across Murex, Calypso, CompatibL, and Bancs, resolving model issues and partnering with Risk, Front Office, and Technology teams to meet regulatory and analytical standards.• Owned key FRTB (Standardised Approach) deliverables under Basel including risk factor mapping, sensitivity aggregation, and capital calculation, coordinating across stakeholders and guiding junior quants.•Involved in IBOR → RFR transition from a market risk perspective, performing valuation impact analysis, overseeing model updates, and ensuring alignment with regulatory and internal governance frameworks.• Played a leadership role in the integration of a new Structuring trading system, overseeing model onboarding, validation, and UAT, and acting as the primary risk interface for Front Office.• Owned the Scenario Generation Engine, leading design, development, and ongoing enhancements to improve scalability and accuracy of VaR, ETL, and ETP across multiple asset classes.• Supported ISDA SIMM compliance by leading hedge curve analysis and validating risk sensitivities used for initial margin calculations
Education
Indian Institute of Management Rohtak
Master of Business Administration (MBA), Finance, General
2015 — 2017
Devi Ahilya Vishwavidyalaya
Bachelor of Engineering (B.E.), Mechanical Engineering
2010 — 2014
Global Association of Risk Professionals (GARP)
FRM, Banking and Financial Support Services
2018 — 2020
CFA Institute
CFA, Finance and Financial Management Services
2017 — 2020
Skills
- Analytical Skills
- Management
- Microsoft Excel
- Requirements Analysis
- Sap Implementation
- Analysis
- Financial Accounting
- Business Analysis
- Sql
- Sap Sd
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