Arjun Beri
Senior Director at BNY
- Role
- Senior Director, Model Risk Management at BNY
- Location
- Pune District, MH, IN
- LinkedIn followers
- 500 followers
About Arjun Beri
Currently I work as a Quant in the area of risk and analytics. I work on developing and validating models pertaining to Derivative Valuation, Credit Risk Analysis, Market Risk Analysis, Asset Liability Management and Stress Testing (Scenario Generation models as part of CCAR, ICAAP). In my research I have worked extensively on the applications of Stochastic Differential Equations to practical problems from Finance, Climate Modeling and Medicine. In my thesis I developed a general mathematical framework to study the parametric estimation techniques in sub-optimal situations, namely, when there is a mismatch between the observed data and the stochastic model. Our technique has been applied to analysis of high frequency time-series from finance and stochastic volatility modelling.Specialties: Option pricing models, Stochastic Calculus, Black-Scholes Model and Extensions, Monte-Carlo methods, Statistics and Programming. Interned with several international banks and successfully applied these techniques to answer practical problems in financial engineering.
Experience
Senior Director, Model Risk Management
Feb 2026 — Present
Education
University of Houston
M.S., Financial Mathematics
2004 — 2005
Delhi Public School - R. K. Puram
Class XII, Science with Economics
1998 — 2000
Nirmala Convent School, Bulandshahr
High School, Science, Mathematics, English, Hindi, History, Economics, Geography
1986 — 1998
St. Stephen's College, Delhi
B.A.(Honours), Mathematics
2000 — 2003
University of Houston
PhD, Applied Mathematics
2006 — 2010
Skills
- Optimization
- Financial Engineering
- Latex
- Quantitative Analytics
- Derivatives
- Statistical Modeling
- Matlab
- Time Series Analysis
- Monte Carlo Simulation
- Quantitative Finance
- Scientific Computing
- Econometrics
- Valuation
- Statistics
- Sas
- Data Mining
- Options
- Fortran
- Mathematical Modeling
- Mathematica
- Stochastic Calculus
- Numerical Analysis
- Applied Mathematics
- R
- Stochastic Processes
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