Sherin Panakkal
Head Market Risk Products Valuation & Stress Testing @ICICI Bank
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WORK HISTORY
Head Market Risk Products Valuation & Stress Testing @ICICI Bank
Mumbai, IN
Sizing market risk appetite by factoring in emerging risks and business requirements- Risk assessment for new products and new business lines - Valuation & VAR methodology, development of valuation models and validation of risk/valuation models for treasury products in Murex/Numerix- Market risk stress testing and ICAAP- CVA under USGAAP/IFRS and credit exposure methodology- Implementation of LIBOR transition & SIMM model - Rollout of margining framework to mitigate the currency risk in credit facilities - Murex version upgrades with primary ownership of MTM, VaR and sensitivities validation of treasury products- Automation of valuation models for structured fixed income securities, VaR backtesting and derivatives stress testing
EDUCATION
Jamnalal Bajaj Institute of Management Studies (JBIMS)
MMS, Finance
Vivekanand Educational Society's Of Technology
Bachelor of Engineering, Computers
ABOUT SHERIN PANAKKAL
23 years of experience in financial markets across banks, treasury and corporate finance…
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