Yogesh Rampariya
Associate - Treasury @ Deutsche Bank | IRRBB | NMD Modeling | Credit Risk | CECL | IFRS9 | Time Series | AI ML | Risk management
- Role
- Associate, Treasury Alm Modeling, Valuation & Structural Risk at 德意志银行
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Yogesh Rampariya
A highly experienced, talented, innovative and result oriented Business Analyst who is an…
Experience
Associate, Treasury Alm Modeling, Valuation & Structural Risk
Apr 2024 — Present
Non Maturing Deposit Modeling. Volume, Client Rate, Market Rate, Deposit Beta, Deposit Rate Elasticity Forecasting using Time Series techniques like ARIMA, ARIMAX, ECM, VECM, etc.Introduced & Formulated Principal Component Analysis (PCA) based hedging method to hedge Non-Maturing Deposit against adverse market movementAutomated Replicating Portfolio structure to reduce PV01 sensitivity using Interest rate derivativesDesigned & established methodology for computation of Hedge Effectiveness using Historical Value at Risk (H-VAR) methodology under historically adverse market movement.Automated logic to calculate SOFR RFR forecast on daily basis consisting of Rate Forecast, Bootstrapping 3M Futures & Swaps, Interpolation using Cubic Spline.Developed Python Script to calculate dNII & dEVE based on user defined scenario using Regression coefficients.Interest rate modeling with Calibration using Short rate No arbitrage Models like Hull White as well as equilibrium models like CIR, Vasicek and Monte Carlo Simulation
Education
S.V.P School (Kandivali)
SSC, Matriculation
1997 — 2007
MALVIYA NATIONAL INSTITUTE OF TECHNOLOGY
M TECH, Materials Engineering
2014 — 2016
LOKMANYA TILAK COLLEGE OF ENGINEERING/ MUMBAI UNIVERSITY
Bachelor of Engineering (B.E.), Mechanical Engineering
2009 — 2013
Skills
- Microsoft Word
- Reading
- Research
- Teamwork
- Engineering
- Cricket
- Autocad
- Hardwork
- Management
- Powerpoint
- Leadership
- Microsoft Office
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