Ashwini Chavan
Market Risk Manager | Treasury Middle Office
- Role
- Market Risk Manager at AU SMALL FINANCE BANK
- Location
- Mumbai, IN
- LinkedIn followers
- 500 followers
About Ashwini Chavan
A proactive and detail-oriented Market Risk Manager with a background in Treasury Risk Management and a Master\'s degree in Finance. Leveraging 2+ years of hands-on experience in Treasury Middle Office, I have built a strong foundation in limit monitoring, analyzing portfolio exposure, regulatory compliance and delivering precise risk reports.
Experience
Market Risk Manager
Jul 2021 — Present · Mumbai, IN
Monitoring Treasury Portfolio exposure limit utilisations, sensitivity-based limits (PV01, Modified Duration), and Stop Loss limits in accordance with the Investment Policy• Delivering extensive Treasury MIS reports, exceptions, and Risk dashboards to senior management• Actively involved in presenting monthly, quarterly, and half-yearly review of the Treasury portfolio to the Investment Committee• Contributing to the development, review, and maintenance of Investment Policy and Counterparty Risk Management Policy• Valuation of Fixed Income securities and providing daily security-wise MTM to the CRO• Performing manual VaR computations and conducting Stress Testing• Assisting in Risk-Based Supervision (RBS) points and preparing half-yearly board notes• Collaborating with internal and external stakeholders to automate regulatory Treasury ReportsAchievements:• Implemented a project to automate VaR model and Backtesting process, reducing manual errors, improving accuracy, and decreasing VaR calculation time from 3 days to 1hr/day
Education
Thakur Vidya Mandir High School
Schooling, 95%
2003 — 2012
Narsee Monjee College of Commerce and Economics
Bachelor of Commerce, Accounting, 71%
2014 — 2017
Narsee Monjee College of Commerce and Economics
Junior College, Commerce, 87%
2012 — 2014
K.J. Somaiya Institute Of Management Studies and Research
Master of Management Studies, 8.56 CGPA
2019 — 2021
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