Santosh Sahu
Assistant Manager @ KPMG | CFA, FRM, VAR Calculations, Model Validation, Market Risk, Derivatives Pricing
- Role
- Assistant Manager at KPMG
- Location
- Bengaluru, KA, IN
- LinkedIn followers
- 500 followers
About Santosh Sahu
A result-driven and self-motivated financial professional with 13+ years of experience in…
Experience
Assistant Manager
May 2019 — Present · Bengaluru, IN
Validated various pricing and market risk models for IR derivative products.• Performed model validation where tested and suggested the risk factors that are not captured in PFE (RNIPFE).• Worked on various IR derivative pricing models of Murex and validated all the data, cashflows, and prices of the models.• Performed SOFR transition impact assessment for IR, FX, and EQ trades.• Validated risk factor simulation of vendor model - Numerix.• Prepared back-testing templates using C++ and Python to validate models.• Worked closely and independently with the model validation team and validated models.• Used Python and VBA extensively to build ad-hoc tools which helped to expedite the model validation process.• Developed Python scripts to handle large datasets and data preparation.
Education
Indian Institute of Technology, Delhi
Bachelor of Technology (B.Tech.), Chemical Engineering
2003 — 2008
Indian Institute of Technology, Delhi
Master of Technology (M.Tech.), Chemical Engineering
2003 — 2008
Skills
- Derivatives
- Trading Strategies
- Options
- Capital Markets
- Interest Rate Derivatives
- Technical Analysis
- Fixed Income
- Bloomberg
- Derivatives Trading
- Proprietary Trading
- Trading
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