resume gaurav yadav v2

Gaurav Yadav

B.E. CST (IIT-Roorkee), MBA Finance (ICFAI Hyderabad) Mobile: +91 8879139257

Email id: [email protected]

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Summary1

11 years of multi-functional experience across risk esp. Market Risk, Scenario Analysis & Stress Testing (Credit and Market), regulatory compliance, treasury, ALM, FTP & capital markets with successively increased leadership and project management roles within industry-leading companies.

Risk Advisory Consultant adept at delivering value-added services from strategy and policy to designing organization wide integrated risk solutions for a range of clients including Commercial Banks, Investment Banks, FIs, Private Equity Firms and Pension Funds.

Extensive knowledge and experience of Market Risk, Value at Risk (Historical Simulation, Delta Gamma VaR, Monte Carlo VaR), Stress testing (Credit/ Market), Scenario Analysis, Basel II/III regulatory compliance, Risk based pricing - Risk Adjusted Return of Capital (RAROC) and valuation, Financial and Quantitative Modeling (fixed income, equities, Fx, derivatives and exotics), Heuristic, Deterministic and Stochastic Modeling including pricing by Monte Carlo simulation.

Risk Management

Risk Management Frameworks, Risk Strategy, Risk Appetite, Risk based pricing, Budgeting and optimal capital allocation, Economic Capital, Enterprise Risk Management, Strategic Risk and Strategic Planning, Operations and Performance Management, Pricing and Risk Quantification (credit / market / operational / exotics / structured products), Market Risk, Credit Risk, Liquidity Risk, ALM, FTP, Investment Banking, Asset Management, Private Equity.

Banking and Capital Markets

ICAAP, Basel I, II & III Compliance, Basel Pillar 1 Risks (Credit Risk, Market Risk & Operational Risk), Basel Pillar 2 Risks (Profit rate & Non Trading Fx risk in Banking Book, Systemic risk, Concentration risk, Strategic risk, Reputational risk, liquidity risk and legal risk), Treasury and ALM (including behavioral modeling), Stress Testing, Limit Structures.

Business Analysis & Project Management (BA/ PM)

Liaise with various global teams (i.e. Risk Managers as well as with the relevant Change/IT teams for various key initiatives (Tactical and Strategic Change, BAU escalations and Control tasks)) both functional and technical to translate business requirements into functional specification. Work closely with technical teams to effectively implement the project within stipulated time frame and cost management. Ability to deal with senior stake holders across different time zones such as US, UK, Singapore and Japan

Performed effective governance, communication and reporting of the project through use of project management tools and techniques, creation and implementation of detailed project plans, cost estimation, resourcing and budgeting of the project. Exposure to working in SDLC and Integration Management environment.

1 Professional Experience Details provided below

Gaurav Yadav



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Professional Experience

Organization Role From To

Yes Bank Limited Senior Vice President Sep 2014 Till Date

Nomura Senior Project Manager Aug 2012 Sep 2014

KPMG LLP Senior Consultant Feb 2010 Aug 2012

3i Infotech Ltd. Senior Business Analyst Jan 2008 Feb 2010

CCIL Assistant Manager May 2006 Jan 2008

Wipro Ltd. Software Engineer Mar 1999 Feb 2000

Education

Qualification University / College Year Score

MBA Finance ICFAI, India 2006 7.93 CGPA

B.E. Computer Science IIT - Roorkee, India 1999 66.67 %

Publications:

“Modelling Low default Credit Portfolio in (Multi Period Correlated Default Events).”, R Conference - R/Finance 2011: Applied Finance with R, Chicago, IL, USA http://www.rinfinance.com/agenda/2011/Yadav+et+al.pdf

“Estimating Probability of Default using Logistic Regression” (3i-Infotech Limited) “Portfolio Optimization using Simulated Annealing Methodology” (3i-Infotech Limited) “Extreme VaR using Generalized Pareto Distribution” (3i-Infotech Limited) “Estimating a reliable benchmark sovereign yield curve in an emerging bond market”

(Rakshitra*, CCIL) “Developing A Treasury Bills Index in Indian Market” - (Rakshitra*, CCIL) “CCIL All Sovereign Bond Indices (CASBI)” - (Rakshitra*, CCIL) “Exploring the intricacies between Oil and Gold” - (Rakshitra*, CCIL) Book Reviewer For: “Applied Performance and Risk Analysis”. Authors - Brian Peterson and Peter

Carl. Under contract with Springer-Verlag. Expected publication in near future. Working on Trading Strategies in R & Working on Credit Risk in Retail Portfolios in R

*Rakshitra is the monthly newsletter of CCIL intended to support market operations by leveraging the informational content available with CCIL, for effective use by market participants (Banks/FIs, Primary Dealers, Mutual Funds, Insurance Companies, Corporate), academics and others.

Computer Skills:

SAS, SPSS, Matlab, Mathematica, JMulti, R Software, Ox, Eviews

C, C++, Visual Basic, Java, HTML

MS Access, Oracle, MySQL, Prowess

Windows(All), Unix – Solaris, HPUX, Linux(Red Hat, Suse)

Worked professionally on Reuters, Bloomberg and Moneyline telerate terminals Languages: English (Read, Write, Speak) & Hindi (Read, Write, Speak)

http://www.rinfinance.com/agenda/2011/Yadav+et+al.pdf

Gaurav Yadav



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Professional Experience

Senior Vice President, Enterprise Risk Mgmt.

Yes Bank Limited www.yesbank.in

Sep 2014 – Till Date

YES BANK is a “Full Service Commercial Bank”, with Corporate, Retail & SME Banking franchise, with a comprehensive product suite of Financial Markets, Investment Banking, Corporate Finance, Branch Banking, Business and Transaction Banking, and Wealth Management business lines across the country.

Aggregate the risk across the bank including market risk, credit risk, operational risk, liquidity risk, reputation risk (Basel II/ III Pillar I and Pillar II risks) for CCAR (Capital Adequacy Ratio)

Responsible for management of quarterly deliverables including reporting to the Board of Directors and Risk Monitoring Committee for enterprise risks

Subject matter expert for Market Risk (Sensitivites, VaR & SVaR), Credit & Market risk stress testing and scenario analysis, RWA (Credit RWA (standardized approach), Market RWA, Economic Capital (basis PD, LGD and EAD)) and Back-testing results and capital adequacy ratio.

Conducting and analyzing credit stress testing and scenario analysis for the bank including RBI regulatory credit stress testing

Performing and Analyzing credit concentration risk for the bank – early warning signals

Enforcing organization-wide cascading RAROC (for advances) across pan-bank – levels including at business segment, relationship manager, transaction level. The performance measure includes fee income, interest income and non-interest income, salary costs, admin costs). RAROC is calculated basis Expected Loss (PD, LGD, EAD) and Risk Capital (basis Credit, Market Risk and Operational Risk Weighted Assets)

Undertake and provide relevant inputs for ICAAP – including credit stress testing.

Compiling and presenting the ICAAP to regulator post feedback from all the relevant stakeholders across the bank including market risk, credit risk and operational risk

Preparing groundwork for management committees viz. enterprise risk and reputation risk

Contribute in being a watchdog for group risk, enterprise risk, reputation risk framework including policies, monitoring for compliance. Development/ refinement of key controls and ongoing monitoring and evaluation of the processes to mitigate control gaps/ deficiencies across enterprise risks

Maintaining, monitoring and enforcement of credit risk capital adequacy framework through proactively managing database of rating letters, credit ratings (including rating transitions) by providing inputs to capital adequacy calculations in terms of risk weights.

Lead, develop, and manage associates (four) in support of their work and career, as applicable.

Conduct training for business divisions on risk based pricing and capital conservation

Senior Project Manager, Risk & Regulatory, CMT

Nomura Services India Private Limited http://www.nomura.com/

Aug 2012 – Sep 2014

Nomura is a leading financial services group and the preeminent Asian-based investment bank with

worldwide reach.

Key personnel in development of business requirements based on new regulations regarding CCPs including EMIR, CRD IV, DFA and JFSA regulations. In the course of project, the role was to classify CCPs as Qualifying-CCP/ Non-Qualifying CCP based on different jurisdictions, feeding of

http://www.ccilindia.com/

http://www.nomura.com/

Gaurav Yadav



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Senior Project Manager, Risk & Regulatory, CMT

Nomura Services India Private Limited http://www.nomura.com/

Aug 2012 – Sep 2014

IM, VM and Default Fund for capital and risk processes. Also, it involved setting up of limits for credit risk management purposes.

Worked on EMIR as a part of change management team for capital, risk management and margin requirements. The role involved articulating/ interpreting the regulatory requirements and assessing the gaps between current state and required state to ensure compliance with EMIR across all entities governed by EMIR.

Developed a cohesive Credit manual for a leading Asian bank to streamline end to end business and risk operations that ensure higher efficiency and business continuity. The coverage of this manual ranged from front office deal origination to post follow up of the deal (including loans, treasury products).

Developed Target Operating Model for global regulatory capital reporting.

Ensure any data quality gap is overcome by means of effective dialogue with internal and external team members.

Monitor, escalate any production gaps (people issues, system issues) to the management team.

Developed business requirements for Global Trade repository project for reporting derivatives.

Senior Consultant, FRM KPMG Bahrain and KPMG Qatar (combined) http://www.kpmg.com/

Feb 2010 – Aug 2012

KPMG is a global network of professional firms providing Audit, Tax and Advisory services. KPMG has 140,000 outstanding professionals working together to deliver value in 146 countries worldwide.

Established entrenched Risk Management framework, systems and processes in banks, pension funds, FIs to enable compliance with various regulatory benchmarks, predominantly Basel II & newly introduced Basel III:

Basel III – Conducted impact assessment on the bank’s capital and other critical ratios (such as CAR, Tier I Ratio, Tier II Ratio, LCR, NFSR, Leverage Ratio) due to Basel III norms. This analysis included both normal as well as stressed scenarios.

Market Risk – Maturity/ Duration Ladder for Market risk, VaR based internal model approach using Historical Simulation, Delta Normal, Delta Gamma, and Monte Carlo based approaches.

Market Risk – Marginal VaR, Component VaR & Incremental VaR for identifying the potential risks in the investments and trading positions

Scenario/ Monte Carlo Simulation (using VBA & Matlab) based Framework developed for Generic & Robust Stress Testing of Balance Sheets (including Cash, Due from/to Banks, Private Equity, Listed Equity, Borrowings/ Loans asset classes) for banks’ ICAAP including simulation/ sensitivity of market risk factors (Equity, Fx, Interest Rate & Commodities), Counterparty default simulation based on binomial distribution, specific asset classes risk factors (such as time horizon, salvage value, dividends for private equity).

Risk Framework – Designed and implemented a comprehensive risk management framework comprising of vital elements such as risk strategy, risk appetite, policies & procedures, reporting structure, measurement tools, governance and oversight framework; to improve the organization’s ability to aggregate, manage and control risk across business units and divisions.

http://www.nomura.com/

http://www.kpmg.com/

Gaurav Yadav



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Feb 2010 – Aug 2012

Risk Strategy & Risk Appetite – Overall Risk strategy & Risk Appetite formulation and articulation based on risk profiling of the organization. Limit Structural Framework based on Risk Tolerance & Risk Appetite of organization.

Strategic Asset Allocation – Analyzing the current portfolio composition of Pension Fund and suggesting an Optimal Asset Allocation based on optimal risk return profile using constrained optimization ( such as asset classes exposure constraints, geographic constraints, contribution/ benefit longevity constraints) using simulated annealing technique.

Risk Aggregation of financial risk silos based on various methods ranging from undiversified aggregation to copula based correlated aggregation of risks (credit, market & operational risks).

Credit Risk – Fund Rating Models for Hedge Funds, Mutual Funds, Sectoral Funds. Distress Risk – Developed distress assessment model for Micro and SME segment for a

sovereign fund. ALM - Risk adjusted performance metrics (RAROC), Structural Liquidity, Profit Rate

sensitivity, Duration Analysis, EVE , Duration of Equity, Rate Shock Analysis

Senior Business Analyst, Market Risk & ALM

3i Infotech Ltd. http://www.3i-infotech.com/

Jan 2008 – Jan 2010

3i Infotech is a global Information Technology company which provides technology solutions to over 1500 customers in more than 50 countries across 5 continents, spanning a range of verticals.

Responsible for managing and guiding the development of two products (viz. Basel II compliant Market Risk & ALM).

Managed and supervised a team of 3 functional and 10 technical resources.

Designed specification for market risk capital charge computation as per RBI guidelines i.e. Alternative and Portfolio wise (AFS & HFT) market risk.

Designed the functional specification(s) for : Market risk assessment based on VaR (Value-at-risk) contribution for HS, VaR-CoVaR

and Monte Carlo simulation methods. DGVT based VaR for non-linear portfolios like options. Multivariate regression and also incorporated the method to solve co-linearity problems. Statistical based Behavior analysis for Core-Volatile analysis (ALM) of Deposits, Loans

etc. Portfolio optimization using simulated annealing technique.

Pricing of products using Closed Form, Open Form, Monte Carlo based Simulation, Lattice and Tree based Methodologies.

Designed and developed Basel II compliant market risk management modules for derivatives, options and exotics.

Expert in translation of business requirements and global risk management practices to efficient system processes (prioritizing and strategizing the features/ modules to be added, enhanced or modified in the product) based on market dynamics, clients’ expectations and competitor analysis.

Broad-based business experience in providing Global Functional and Quantitative support to


http://www.3i-infotech.com/

Gaurav Yadav



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Feb 2010 – Aug 2012

various implementation teams across the globe.

Effective product demonstration/presentation to potential/new buyers/clients.

Assistant Manager, Research & Surveillance

Clearing Corporation of India Limited www.ccilindia.com

May 2006 – Jan 2008

The Clearing Corporation of India Ltd. (CCIL) has been established to improve efficiency in the transaction settlement process, insulate the financial system from shocks emanating from operations related issues, and undertake other related activities that would help to broaden and deepen the money, debt and forex markets in the country.

Served in capacity of team head (team size of 8) for developing in-house automated integrated environment.

Analyzing Money markets (Call/Repo/CBLO), Fixed Income Sovereign Securities markets and Foreign Exchange markets using advanced statistical procedures.

Designed and developed a vibrant Sovereign yield curve (YTM curve) based on Market Trading data, using NURBS (Non uniform rational B-spline functions) methodology on Visual Basic platform (frontend) and C platform (backend). Improvising the yield curve for better estimation of yield/prices of the sovereign securities and T Bills.

Designed and Implemented CCIL All Bonds Sovereign Indices (CASBI) – Total Returns Index and Principal Returns Index, to incorporate the impact of illiquid bonds not captured by the conventional liquid bond portfolio.

Managing, reviewing and supervising the daily analysis, reporting and surveillance activities for prompt and efficient dissemination of market data.

Conceived and designed software which integrated, optimized and automated all the internal processes and analyses in fixed income and money market – in house software development.

Software Engineer, Cisco Dedicated Facility

Wipro Technology Solutions www.wipro.com

Mar 1999 – Feb 2000

Wipro Technologies, a division of Wipro Limited (NYSE:WIT), is amongst the largest global IT services, BPO and Product Engineering companies.

Enhancing IMA from version 1.0 to 1.1 running on ATM Network as prescribed by ATM Forum (http://www.broadband-forum.org/)

Maintenance of IMA version 1.0 on various platforms like Catalyst 8500, LS 1010


http://www.ccilindia.com/

http://www.wipro.com/

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