Rahul Yadav

About Rahul Yadav

I am a senior quantitative analyst within the model risk team, focusing on validating and endorsing counterparty credit risk exposure models. My previous role involved serving as a quantitative analyst in the model risk methodology team, where my responsibilities included developing, maintaining, and enhancing IMM models utilized in the counterparty credit risk domain.CORE COMPETENCIES- Quantitative Modeling: Monte Carlo Simulation, stochastic modeling of interest rates, FX, equity, and spreads- Pricing of exotic derivatives and structures like autocallables, Asian, and quanto options- Model Development and Validation: IMM, SFTs, EPE/PE/RWA analysis, backtesting, scenario generation, and stress testing- Programming & Automation: Python, SQL, C++, VBA- Regulatory Compliance: Basel CRD IV, model audit documentation- Financial Instruments: bonds, equities, repos, interest rate linear and vanilla derivatives such as swaps, futures, forwards, swaptions, caps, floors, and bond forwards- AI and ML Techniques - Linear and Logistic regression, Time Series Analysis, Deep Learning, and using LLMs for automation- Effective communication skills: able to articulate issues and provide clear explanations of model behavior and results from a risk and P&L perspective.I hold a Master\'s degree in Business Economics from Delhi University and have achieved certification as a Financial Risk Manager (FRM) from the Global Association of Risk Professionals. Furthermore, I have completed the Certificate in Quantitative Finance (CQF).

Experience

1. Director Senior Xva and Ccr Quantitative Analyst

   UBS

   Sep 2022 — Present · Mumbai, IN

Education

• KIT's College of Engineering Kolhapur (Empowered Autonomous)

  B.E. Mechanical

• Department of Business Economics, University of Delhi

  Master's in Business Economics, Finance & Quantitative Techniques in Business

Skills

• Six Sigma
• Econometrics
• Derivatives
• Data Analysis
• Corporate Finance
• R
• Microsoft Excel
• Financial Risk Management
• Quantative Analysis
• Statistics
• Quantitative Analytics
• Sql