Yashwant Bhambhani
CFA Charterholder and FRM with a software development background and extensive experience as a Senior BA in banking and asset management, specializing in risk management and portfolio optimization.
- Role
- Consultant at Jefferies
- Location
- Millburn, NJ, US
- LinkedIn followers
- 500 followers
About Yashwant Bhambhani
CFA Charterholder and FRM designation holder with a strong foundation in software…
Experience
Consultant
Mar 2024 — Present · Jersey City, NJ, US
Created BRDs for developing a system to automate the generation of CRIF, calculation of initial margin (IM) and dynamic backtesting results.• Developed mockups, flow charts and data flow diagrams related to calculation of 1D and 10D IM, static and dynamic backtesting, ETF Equity Delta Risk decomposition and generation of Risk Not in SIMM measure.• Created mapping specs for processing of trades and risk feeds to generate the Common Risk Interchange Format (CRIF) files to be used for calculation of IM based on ISDAs SIMM model for non-cleared derivatives.• Supported Risk Quants and Risk Managers in data analysis of internally generated CRIF by creating Python scripts to reconcile the output with the CRIF generated by the vendor platform.• Created a Python script which would source the trades data from Snowflake, submit the trade information to a CCP via an API to obtain IM benchmarking data, calculate IM using an internal calculator and compare the two IMs.
Education
Indian Institute of Technology (Banaras Hindu University), Varanasi
B.Tech
1989 — 1993
Microsoft Inc.
MCSD, MCDBA, MCP.Net
1998 — 2002
Bentley University - McCallum Graduate School of Business
MBA
1997 — 1998
GARP
FRM
2011 — 2011
CFA Institute
CFA
2011 — 2020
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