Sanket Nandan
Model Risk - Risk Quants & Analytics [ERM] | Model Validation [MRM]
- Role
- Vice President at BlackRock
- Location
- Gurugram, HR, IN
- LinkedIn followers
- 500 followers
About Sanket Nandan
Sanket is a risk management professional belonging to the model risk/quants/analyst team. He recently worked in the model validation of multiple portfolio/investment risk models for equity, private equity funds, fixed income classes. He validated models like Bond Futures, CMS convexity adjustment, FX Forward curve, HVaR, Private Equity Risk model, Real Estate PE risk model, Portfolio Optimization, Equity Attribution, Fundamental Risk Factor Models. He has supported a major US bank in validation of BAU-SPG models and also have experience in the audit role for pricing and market risk models. He has validation and audit exposure in volatility based modeling (LV, SV etc.), pricing of interest rate derivatives (swaptions, caps/floors etc.) via IR models and valuation of securitized products including mortgage options, mortgage backed securities, collateral loan obligation (CLO), CDS and tailored lending loan valuation within the scope of Wealth Management group. He has worked on implementation and validation of several models and modelling techniques such as BSM, Hull-White one-factor, static replication pricing, SABR model, Cheyette-Beyna HJM model, Refined Logistic regression, Regularized regression, survival analysis etc. and has also hands-on experience in advanced analytics and machine learning algorithms like random forest, xgboost, SVM, Hidden Markov Model etc.
Experience
Vice President
Jan 2026 — Present · Gurugram, IN
End-to-end validation of security pricing models (under the domain of rates and derivatives); management of model risk for Aladdin Financial Engineering models and collaborate with the modellers to mitigate and control the same.
Education
Ramakrishna Mission Vidyalaya
West Bengal Council of Higher Secondary Education (+2 Intermediate), Basic Science (Physics, Chemistry, Mathematics) + Additional (Statistics)
2008 — 2010
Indian Institute of Science Education and Research (IISER), Pune
BS-MS Dual Degree, Mathematics
Skills
- Powerpoint
- Microsoft Excel
- Research
- C++
- Java
- C
- Microsoft Office
- Microsoft Word
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