Arun Venkatarangan
Executive Director - Model Risk Management @Morgan Stanley
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WORK HISTORY
Executive Director - Model Risk Management @Morgan Stanley
New York, NY, US
Asset Class head leading a global team covering Model Risk Management for Treasury Risk, Liquidity Risk, Liquidity Stress testing, Recovery and Resolution Planning and Vendor (QRM) models.• Additional mandate to cover trading desk models to estimate Volcker desk trading limits.• Enhanced model risk framework by designing metrics to provide early warning highlighting changes in model usage and model performance deterioration. Successfully back tested against Covid-19 crisis liquidity data.
EDUCATION
Stony Brook University
Master of Science - MS, Computational and Applied Mathematics
Stony Brook University
Doctor of Philosophy - PhD, Computational and Applied Mathematics
University of Madras
Bachelor's degree, Mathematics
Indian Institute of Technology, Madras
Master's degree, Mathematics
SKILLS
ABOUT ARUN VENKATARANGAN
Senior Model Risk and Quantitative Expert 20 + years of Model Risk and Modeling experience leading global quantitative teams. Domain Expertise: Model Risk Management | Market risk Basel 2.5 (VaR, IRC, CRM)| Time Series Modeling | CCAR and Stress Testing | FRTB | Credit Risk | Operational Risk | Equity, Commodity and Rates Risk Modeling | Pricing and Simulation Modeling | Treasury and Liquidity Risk.Regulatory Expertise: High Touch regulatory interaction with FRB, OCC, SEC and PRA | Familiarity with JFSA and RBI requirements.Project Management Expertise: Superior project management skills, with an understanding of modeling nuances and technology requirements, to execute large projects successfully.Technology Expertise: Knowledgeable in C++, MATLAB, R and VBAExcellent verbal and writing skills to communicate with senior management, clients, auditors and regulators.
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