Niraj Sangle

Quantitative Risk Analyst @RMB - Rand Merchant Bank

Quantitative Risk Management. Validation of Fixed Income product models like Fixed Rate Bond, Floating Rate Bond, CPI Linked Inflation Bond.Working on Validation of Accrual model for Bond valuation. Curve Bootstrapping, BRM Correlations, Equity Total return Swap.Used Tools like Bloomberg and MUREX as benchmark for Validations performed. Validation of Risk Sensitivities like PV01, DV01, IR Parallel, Theta & VaR. Validation of FRTB Sensitivities like GIRR Delta, CSR Delta, FX Delta, GIRR Curvature, CSR Curvature, EQD Curvature, FX Curvature, Default Risk Charge (DRC) Jump to Default (JTD)