Ratanlal Mahanta

About Ratanlal Mahanta

Advancing state-of-the-art quantitative models across credit, interest rates, and derivatives. My work spans CDS and credit-risk modelling, high-performance Monte Carlo engines for Bermudan swaptions and XVA, wrong-way-risk frameworks, and portfolio optimisation under liquidity, cost, and tail-risk constraints. I also contribute to FRTB-SA, IRRBB, and model-risk governance through robust validation frameworks.I’m a Technical Author and Quant Researcher with 12+ published books in machine learning and quantitative finance, and 350+ academic and industry citations.I build scalable, production-ready pricing and risk engines that bridge deep quantitative research with real-world front-office and enterprise-risk applications.

Experience

1. Senior Quant (Lead-level, L4)

   Rsrl

   Aug 2019 — Present · Dubai, AE

   Leading advanced model validation initiatives across risk management, market risk, counterparty risk and trading models.• Led validation of pricing models for Bermudan swaptions, basket credit derivatives, the two-factor Hull-White (HW2F) model, and 18 FX and IR derivative products, covering both vanilla and exotic structures.• Validated front-office CDS calibration and PD curve models using structural and reduced-form approaches.• Conducting in-depth validation of IRRBB (Interest Rate Risk in the Banking Book) models, ensuring regulatory compliance and robust risk quantification.• Led the development and validation of quantitative methodologies for market risk, credit risk, and FRTB-SA frameworks, ensuring regulatory compliance.• Designed and calibrated quantitative models for interest rate modeling, CVA (Credit Value adjustment), VaR/SVaR and tail risk hedging.• Reviewed model assumptions for proxy hedging, basis risk, and credit curve extrapolation.• Developed cloud-based SaaS platforms for stress testing, scenario simulation, and derivative pricing. Led the end-to-end model lifecycle (FRTB) from design to validation, translating advanced analytics into measurable business impact.

Education

• North Orissa University

  Bachelor of Science (B.Sc.), Mathematics

  2005 — 2008

• Institute of Mathematics and Applications

  Master of Science (M.S.), Computational Finance

  2008 — 2010