Anurag Verma

About Anurag Verma

Anurag is a certified risk professional with experience of more than 10 years in quantitative modeling and validation of Market Risk models (VaR, SVaR, IRC, Risk not in VaR [RNiV]), derivative pricing and valuation. He has also worked in the quantitative Impact studies (QIS) exercises for FRTB IMA. He is passionate about the implications of Machine Learning/Deep Learning in the pricing and risk management of path dependent derivatives. Anurag holds a master degree in Data Science from BITS Pilani and a graduate degree in Instrumentation engineering. He also holds some of the most recognised certifications in the financial industry, such as CFA from CFA institute, FRM from GARP and CQF from CQF Institute.

Experience

1. Associate Director (VP)

   HSBC

   Mar 2022 — Present · Bengaluru, IN

   Part of the Global Risk Analytics (GRA) team, working as Risk Analytics and Modeling Quant - Traded Risk. Major activities includes development and maintenance of market risk models such as - Interest Rate and Credit Spread VaR- CVA VaR - Incremental Risk Charge (IRC)- Risk not in VaR (RNIV)- Quantitative Impact Studies (QIS) for FRTB IMA- Climate risk modelling for Traded Risk

Education

• West Bengal University of Technology, Kolkata

  Bachelor of Technology - BTech, Instrumentation & Control Engineering

• Birla Institute of Technology and Science, Pilani

  Master of Technology - MTech, Data Science & Engineering