Sunny Savla
Qualified Actuary | Certified FRM | Deloitte - Risk Advisory l Tutor at The Actuarial Academy
- Role
- Assistant Manager at Deloitte
- Location
- Mumbai, IN
- LinkedIn followers
- 500 followers
About Sunny Savla
IRRBB - Development of IRRBB models for various banking book products and implementation of IRRBB framework across multiple Indian Banks. Model Validation - Performed model validations for a major international bank. Performed validation of stress testing models, IRRBB models, EAD and LGD models for the bank\'s CCAR reporting cycle. Derivative Valuation - Development of Excel and Python models for carrying out valuation and sensitivity analysis of derivative instruments like swaps (IRS, OIS, cross currency), forwards, options and exotic products like Swaptions, CDS, NDOs, FRAs and Barrier Options Fixed Income Valuation - Valuation and sensitivity analysis of callable puttable bonds, perpetual bonds, PTCs, float rate bonds, etc. as per FIMMDA requirements. Market Data Review - Performance of independent market data review involving bootstrapping of interest rate curves. IBOR Transition - Have developed the RFR Loan Calculator with ARR conventions on Python for ARR linked loans for a leading private sector bank. Assessed the impact on bank\'s Trading Book due to the IBOR Transition through various risk measures - VaR, cashflow projections, NOOP, PV01
Experience
Assistant Manager
Jun 2023 — Present · Mumbai, IN
Education
H.R. College Of Commerce & Economics
Bachelor's in Financial Markets (BFM), Financial Markets
2019 — 2022
Lokmanya Tilak English High School
SSC, 95.80 %
2007 — 2017
R. A. Podar College of Commerce & Economics
SYJC, Business/Commerce, Office Management, 94.46 %
2017 — 2019
Institute and Faculty of Actuaries
Actuarial Science
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