Apoorva Shende

About Apoorva Shende

Risk Strats Manager - Model Performance Testing (Vice President) at Goldman…

Experience

1. Risk Strats Manager - Model Performance Testing (Vice President)

   Goldman Sachs

   Dec 2015 — Present · Bengaluru, IN

   VaR Model Performance Testing: Day to day global team lead responsibility to ensure the accurate and timely completion of the regulatory deliverables for VaR Back testing.Model Development: Developed and documented (per SR 11-7 standards) a suite of models for various regulatory and risk management requirements• Statistical tests to determine if the firm’s Value-at-Risk (VaR) model accurately captures the specific risk in the firm’s trading portfolios. • Statistical tests to identify Volatility and Correlation Regime Shifts in the market. • Model to identify root cause of loss exceedance over VaR Stress Testing: Developed the following stress testing methodologies• Projection model for VaR Back testing Multiplier for CCAR RWA projections• Methodology for joint risk factor distribution under various market scenarios. ISDA Fundamental Review of Trading Book (FRTB) Advocacy: GARCH based simulations to test alternative industry proposals for P&L attribution Test.

Education

• Virginia Tech

  Ph.D., Engineering Mechanics

  2003 — 2008

• Indian Institute of Technology, Bombay

  M.Tech, Civil (Structural) Engineering

  1998 — 2003

• Indian Institute of Technology, Bombay

  B.Tech, Civil Engineering

  1998 — 2003

Skills

• C++
• Numerical Analysis
• Finite Element Analysis
• Statistics
• Machine Learning
• Statistical Modeling
• Algorithms
• Matlab
• R
• Python
• Latex
• Mathematica
• Mathematical Modeling
• Simulations
• Data Analysis
• Optimization