Aditya Neema

Manager @EY

London, GB

Part of the model development team building the Internal Model Approach (IMA) for market risk capital at a globalinvestment bank, in line with FRTB and PRA requirements.• Designed a scalar framework to compute SSRM for NMRFs with limited data during stressed periods.• Developed an extreme-shocks model to simulate tail-risk scenarios for illiquid NMRFs using sparse time series data.• Created a testing and optimization algorithm to identify NMRF clusters eligible for zero-correlation aggregation in-linewith PRA guidelines, maximizing capital savings for the clients.• Designed a ridge regression model to backfill historical SOFR tenors using EFFR curves for stress period coverage.• Integrated Python-based models into production systems to support robust and scalable risk calculations.• Built monitoring frameworks to validate modeling assumptions and track performance over time.• Collaborated with Risk Systems and Front Office to align methodologies with infrastructure and business constraints.• Facilitated workshops with banking clients to address FRTB implementation challenges and propose modeling solutions.• Led internal R&D on using generative AI to automate documentation of quantitative model code repositories

Indian Institute of Technology, Kharagpur

Bachelors and Master's Degree