Sagnik Roy

About Sagnik Roy

Currently I’m working as a Corporate Treasury Strategist in the Finance Division of Morgan Stanley. My team works with Fixed Income instruments and Interest Rates, to control unsecured funding across the bank and make projections that affect the firm’s funding strategies. I work in Hedge Accounting, under Fair Value and Cashflow Hedging frameworks, Fund Transfer Pricing, computation and support of T0 PnL of different Treasury desks across the globe.Earlier, I worked for one year as a Model Validator in Model Risk Management, Bank of America, where I did Validation and Review of models in the domains of Fair Lending, Operations and Anti Money Laundering. Prior to these, I\'ve completed Bachelors and Masters degree in Statistics from ISI Kolkata, primarily focusing on Probability, Mathematical Statistics and Quantitative Finance.Interested in Derivative Pricing Theory and Stochastic Calculus, some relevant coursework of mine include:Probability Theory Linear AlgebraReal and Complex AnalysisStatistical MethodsLinear ModelsParametric and Non-Parametric InferenceRegression TechniquesTime Series AnalysisQuantitative Finance Martingale TheoryBrownian MotionI am also a high altitude trekker, chess player and a Western Classical violinist, holding a gradation in All India Radio(AIR). I love taking on new challenges with the motto \"Improvise, adapt and overcome\".

Experience

1. Senior Associate, Corporate Treasury Strats

   Morgan Stanley

   Aug 2022 — Present · Mumbai, IN

   Working as a Corporate Treasury Strategist in the Finance Division. Corporate Treasury deals with allocating funds to different Sales and Trading desks across the firm. My job mainly involves working with Fixed Income instruments to make fund allocation and valuation projections, directly affecting PnL across the firm’s balance sheet. My team works with Cost of Funds, the proxy rate Treasury charges to the desks (one of the most fundamental tasks of Treasury), Pricing and Hedging of Bonds(under Hedge and Accrual Accounting Standards), Swaps, etc among others. The main coding language I use is Optimus, a proprietary version of Scala.

Education

• Indian Statistical Institute, Kolkata

  Master of Statistics, Mathematical Statistics and Probability

  2019 — 2021

• Indian Statistical Institute, Kolkata

  Bachelor Of Statistics, Honours (B.Stat), Mathematical Statistics and Probability

  2016 — 2019