Maysam Khodayari
Quantitative Risk Model Associate Markets @Citi
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WORK HISTORY
Quantitative Risk Model Associate Markets @Citi
FL, US
Market Risk Model Revalidation: Performed redevelopment, back-test, and stress test on five market risk models: VaR (Value At Risk Analysis) for Interest Rate Risk Products, Credit Spreads Simulation, Six-Factor IRC/CRM Correlation Model for Credit Default and Migration, Price-based VaR Model for MBS and ABS, and Volatility & Correlation Matrix Construction • Model Performance Assessment Automation: Built object-oriented Python modules for the VaR automation project to automate ongoing back-testing and performance reporting• Leadership and Collaboration: Led stress and back-testing efforts, coordinated results verification with MRM (Model Risk Management) analysts, and managed documentation for MDDs, OPAs, IMRs, Annual Reviews, and model limitation updates
EDUCATION
Carnegie Mellon University
Master of Science in Computational Finance, Financial Mathematics
ABOUT MAYSAM KHODAYARI
I am a quantitative risk professional specializing in the development, redevelopment, and validation of market and credit risk models across multi-asset portfolios. My work spans VaR, stress testing, volatility and correlation modeling, credit rating systems, and model performance monitoring, with strong exposure to FRTB, ICAAP, CECL, Basel, and CCAR frameworks. I build Python-based risk analytics and translate complex model outputs into clear, actionable insights, bridging quantitative research, model risk governance, and portfolio decision-making under both normal and stressed market conditions.
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