Prashant Kumar

About Prashant Kumar

I am part of the Model Risk Management team in the Risk Division of Goldman Sachs. Before this, I worked with Model Risk Management Group for Machine Learning Models in Consumer & Community Banking at JP Morgan Chase & Co. I love problem-solving and have Strong Machine Learning, Statistical Analysis, and Finance knowledge with an MS focused in Quantitative Economics from the Indian Statistical Institute and a B.Sc honors in Mathematics from the University of Delhi.

Experience

1. Associate - Model Risk

   Goldman Sachs

   Oct 2022 — Present · Mumbai, IN

   Model Risk Management for Global Banking & Markets Models- Market Risk Stress Testing Models:• Global Market Shocks - Instantaneous shock calibration for Market Risk using Linear Regression, PCA, and other qualitative approaches. Shock Design covers a PnL of ~$2B across products.• Developed Python libraries and custom engine to process time series data, perform transformations, and run regressions to calibrate shocks. Estimate PnL based on sensitivities associated with RiskFactors- CCAR PPNR for Global Currencies & Emerging Markets and Repo Business, Time series regression based Revenue Projections of ~$8B for Severely Adverse Scenario in CCAR- Time series regressions based revenue forecasting models for budget planning under Baseline Scenarios. Forecasting engine to project revenues at several granularities such as Global, Regional and GS Revenues.

Education

• Atma Ram Sanatan Dharma College

  Bachelor's degree, Mathematics

• Indian Statistical Institute (ISI), New Delhi

  MS, Quantitative Economics

  2018 — 2020