Arunesh Roy
Morgan Stanley | Eurex | JP Morgan | Univ. of Groningen
- Role
- Market Risk Quant Associate (Frtb) at Morgan Stanley
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Arunesh Roy
PhD in Computational and Theoretical Physics with extensive expertise in quantitative…
Experience
Market Risk Quant Associate (Frtb)
Jan 2025 — Present · Mumbai, IN
FRTB and independent benchmark model implementation. Quantitative Impact Study (QIS) models. Extensive desk and trade level drill-downs for VaR and Expected Shortfall(ES) based risk models. Multiple asset classes - FX, Equity, Fixed Income and other asset classes.
Education
University of Groningen
Doctor of Philosophy - PhD
2014 — 2021
Indian Institute of Science Education & Research (IISER), Kolkata
Master of Science - MS
2012 — 2014
Indian Institute of Science Education & Research (IISER), Kolkata
Bachelor of Science - BS
2009 — 2012
Skills
- English
- Mathematical Modeling
- Python
- Latex
- Turbo C
- C
- Programming
- C++
- Statistics
- Physics
- Fortran
- Algorithms
- Science
- Mathematica
- Theoretical Physics
- Differential Equations
- Matlab
- Research
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