Anurag Singh
Quantitative Risk Analyst @FirstRand Corporate Centre
Signup · Get unlimited contacts
WORK HISTORY
Quantitative Risk Analyst @FirstRand Corporate Centre
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
Sydenham Institute of Management Studies, Research and Entrepreneurship Education
Master of Business Administration - MBA
ABOUT ANURAG SINGH
Working as a Quantitative Risk Analyst in the Model Validation team within the Global…
This profile is compiled from publicly available professional sources. Unifers is not affiliated with or endorsed by LinkedIn. Request removal of this profile.