Anurag Singh
Quantitative Risk Analyst | FRSPL | CITICORP | FRM L1 | SIMSREE
- Role
- Quantitative Risk Analyst at FirstRand Corporate Centre
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Anurag Singh
Working as a Quantitative Risk Analyst in the Model Validation team within the Global…
Experience
Quantitative Risk Analyst
Jan 2022 — Present · Mumbai, IN
Integrated Risk Analytics -Market Risk- Working on the independent validation of plethora of financial instruments including fixed/floating rate instruments, FX, Commodities, Cross Currency Basis Swaps, Forwards, ARR Linked Equity TRS, Money Market Instruments etc- Curve bootstrapping of swap curve, funding curve, ARR linked curves- Independent validation of South Africa Counterparty Credit Risk ( SACCR model)- Independent Validation of Quanto Model in Murex - Quanto FX Futures, Quanto Commodity Futures and Quanto Option-FRTB Credit Risk- Annual Validation of PD and LGD Models of 1. Country Premium Model2. NBFI Models (Insurance, Hedge Funds model) 3. SA Sovereign Model4. Property Models (IPRE, HVCRE & Property Fund Model)
Education
Terna Engineering College
Bachelor of Engineering - BE
2016 — 2020
Sydenham Institute of Management Studies, Research and Entrepreneurship Education
Master of Business Administration - MBA
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