Saurabh Singh

About Saurabh Singh

Over 15 years of experience in quantitative finance, model development, valuations, risk management and in-depth understanding of a wide range of global complex products and systematic strategies across asset classes, quantitative research, attribution, portfolio optimization.

Experience

1. Vice President

   德意志银行

   Mar 2018 — Present · Mumbai, IN

   Chief-architect of group’s trading-cum-risk engine.\\\\n• Portfolio Monitoring & Analytics in real-time basis, Stress testing and scenario analysis for a given portfolio.\\\\n• Overlay Hedging Strategies: Research and development of static and dynamic hedging strategies based upon client’s risk profile to hedge equity, bond and FX exposures. Risk and Volatility Overlays, CPPI strategies.\\\\n• Structured Products: Concept design and development of pricing and hedging solutions for exotic derivative. Best of and worst of options, swaptions.\\\\n• Benchmark creation (systematic asset allocation, Tobin etc.) for evaluating performance of a portfolio using Monte-Carlo simulation.\\\\n \\\\n\\\\n \\\\n \\\\n\\\\n \\\\n

Education

• Indian Institute of Technology, Kanpur

  Bachelor of Technology

  2002 — 2006

Skills

• Market Risk
• Quantitative Finance
• Derivatives
• Time Series Analysis
• Risk Management
• Arbitrage
• Interest Rate Derivatives
• Equities
• Bonds
• Portfolio Management
• Options
• Structured Products
• Fixed Income
• Securities
• Volatility
• Financial Modeling
• Hedging
• Monte Carlo Simulation
• Rates
• Market Data
• Var
• Quantitative Analytics
• Financial Risk
• Risk Analysis