Rajiv Kumar Gupta
Director at Citi | India Head for Capital and RWA Actuals Review
- Role
- Director at Citi
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Rajiv Kumar Gupta
An alumnus of IIM Lucknow (2 year full time MBA, Class 2011), currently working as the India lead for Finance CRO - Capital and RWA Actuals Review Team and Review lead for Derivatives RWA and SLE and CVA RWA• 19 years of cross-industry experience in Counterparty Credit Risk, Market Risk, Regulatory Rules Assessment, Regulatory Capital, Business Analysis and Consulting• Subject matter expertise in the area of Counterparty Credit Risk, leading the quantitative impact studies on upcoming Basel 3 endgame rules on derivatives and SFTs (SA-CCR, SA-CR, revised IRB, revised leverage ratio among others ). Good understanding of FRTB standardised and advanced approach, BA-SVA and SA-CVA capital requirements • Led the Capital Planning team in Citi’s DSFT initiative to address few regulatory mandates related to Liquid and Readily Marketable Securities (LRM) and collateral concentration framework; special treatment of Funded Collars, synthetic Forwards and Margin Loans • Experienced in building, training and managing a team of five members for trading book Exposure Explain. Currently guiding five full time employees to deliver on analytics related to derivatives and SFT LRM/Concentration review, EAD and RWA• Hands on experience in computation and numeric validation of risk metrics like EPE, VaR, PSE, Expected Tail Exposure, EAD based on CEM/SA-CCR, simple CVA and pricing of vanila options, FRAs, single currency/cross currency swaps • Strong experience in Excel, python, VBA and familiar with Linux and SQL
Experience
Director
Jan 2025 — Present · Mumbai, IN
India Lead for Finance CRO - Capital and RWA Actuals Review Team
Education
HBTI, Kanpur
B.Tech, Electronics Engineering
Indian Institute of Management, Lucknow
PGDM, Finance, Systems
2009 — 2011
Bharatiya Vidya Bhavan, Kolkata
CBSE 12th, Physics, Chemistry, Maths
Skills
- Business Analysis
- Strategy
- Consulting
- Process Consulting
- Vpn
- Pre-Sales
- Risk Management Consulting
- Business Intelligence
- Finance
- Management
- Switches
- Rfp
- Team Management
- Project Management
- Mpls
- Requirements Analysis
- Business Strategy
- Business Development
- Derivatives
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