Sahil Arora

Experience

1. Consultant, Fsrm

   EY

   Aug 2023 — Present · Mumbai, IN

   Developed models to compute minimum capital requirement for market risk under SA and IMA approaches, as a part of testing the accuracy of the SAS system- Configured procedures for the valuation of fixed income, derivatives, and money market securities, encompassing government and corporate bonds, Interest Rate Swaps (IRS), Overnight Indexed Swaps (OIS), European options and Forwards. Conducted testing of the configured valuations by developing models representing system’s methodology- Configured a solution for the computing Historical VaR models (Basic and EWMA approaches) for Equity, Fixed Income and Derivative securities. Conducted testing of system methodology by developing model for computing Historical VaR- Configured a backtesting framework for the bank in line with the RBI regulations and tested the accuracy of the system calculations by preparing model validations- Performed system testing of diverse VaR metrics, encompassing Marginal VaR, Incremental VaR, Stressed VaR, and Conditional VaR by performing excel calculations in accordance with the system methodology- Configured the valuation of European Options using BSM approach and performed testing on the system methodology by developing a model for option valuation and option Greeks.

Education

• SVKM's Narsee Monjee Institute of Management Studies (NMIMS)

  Bachelor of Science - BS

  2017 — 2020