Nivesh Kothari
- Role
- Data Science Manager, Financial Services at EY
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
About Nivesh Kothari
Business oriented data scientist/quantitative analyst with hands on experience in design,…
Experience
Data Science Manager, Financial Services
Oct 2017 — Present
Led data science and analytics projects on multiple financial services client engagements and collaborated with globally distributed multiple lines of business, engineering, finance, data science, risk management, marketing, compliance teams and other stakeholders to ensure successful completion of projects-Hired, mentored, and developed data scientists/quants for Quantitative Advisory, Financial Services practice-Initiated and drove multiple strategic initiatives for Quantitative Advisory, Financial Services practice. Representative client projects:# Led development of mortgage loan transition model to determine probability of default (PD) of loans for a large US investment bank. The model is used for estimating Current Expected Credit Losses (CECL) for the bank’s residential mortgage portfolio consisting of Home Equity Loans and Home Equity Line of Credit.# Designed tests and quasi-experiments to quantify financial risks and profitability, performed quantitative research, valuation of consumer loans and securities portfolios for multiple financial institutions. The results were used for various purposes including designing credit strategies, risk and profitability management, revenue and loss forecasting, credit administration, economic capital, designing and updating credit policies, portfolio due diligence, meeting regulatory requirements etc.# Led validation of statistical and machine learning models used by various clients for pricing and risk management of their loans and securities portfolios. Validation included assessment of the conceptual soundness of modeling approach, lifecycle of the training dataset, data relevance, model assumptions and limitations, designed and performed relevant testing including sensitivity analysis and stress testing, loss distributions, developed benchmark models, model monitoring and governance framework.# Researched and proposed machine learning methods and alternative credit data for Credit Scoring models.
Education
National Institute of Technology, Tiruchirappalli
B Tech, Industrial Engineering
Cornell University
Master of Engineering - MEng, Operations Research and Information engineering (Financial Engineering specialization)
Skills
- Bonds
- Fixed Income
- Derivatives
- Capital Markets
- Valuation
- Trading
- Monte Carlo Simulation
- Risk Management
- Mbs
- Options
- Quantitative Finance
- Portfolio Optimization
- R Programming
- Fixed Income Products
- Statistics
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