Shreya Jain
Quant analyst @ UBS | Masters in economics @ Delhi school of Economics
- Role
- Authorised Officer at UBS
- Location
- Gurugram, HR, IN
- LinkedIn followers
- 500 followers
About Shreya Jain
Experienced Risk/Model Validation Analyst with expertise in independently replicating and…
Experience
Authorised Officer
Jul 2023 — Present · Mumbai, IN
Model validator in Scenario Generation team- Independently replicated the scenario projection models developed for regulatory and internal stress testing- Assessed appropriateness of calibration data in terms of sourcing, outliers and economic intuitiveness- Validated conceptual soundness of methodology deployed (OLS, Kalman, Nelson Seigel, PCA, ECM) to model the products such as Breakeven Inflation Rate, Government Bond Yield, Overnight Index Swap Rate, Sovereign CDS- Verified appropriateness of analytical assumptions, parameters, model calibrations, expert adjustments, etc- Reviewed benchmark analysis and developed a benchmark to validate and challenge the model specification- Assessed model risk, performance of model, identification of limitations, and their assessment- Documented validation report as per regulatory requirements across the four risk dimensions of the model- Collaborated and communicated the validation findings with model developers and key stakeholders of the model.
Education
Hindu Vidyapeeth, Sonipat
Class 12
Delhi School of Economics
MA Economics
2021 — 2023
Lakshmibai college, delhi university
Ba (hons)
2018 — 2021
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