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Qualified risk management professional
Tejasvi Vijayaraghavan, FRM, CFA
,
London, United Kingdom
Experience
Other titles
Skills
I'm offering
Qualified risk management professional with expertise in handling critical responsibilities in credit and market risk domains. Significant business and technical acumen from academia and risk analytics experience. Capable of working effectively on own initiative and experienced in setting and achieving set objectives. Proven team player with strong leadership potential and solid competence in building key stakeholder relationships.
Markets
United Kingdom
Links for more
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Language
English
Fluently
Ready for
Larger project
Ongoing relation / part-time
Available
My experience
2017 - ?
freelance
Senior Consultant
EY.
Financial Services Risk Management
Counterparty Credit Risk
* AQR CVA: constructed framework to identify gaps with proposed actions for a large UK bank pre-inspection
* Collateral value adjustment: analysed the impact of moving to own estimates of volatility adjustment from supervisory estimate
* Credit and CCR: translated regulatory guidelines to suggested business actions for relevant articles from CRR and RTS for a proprietary EY tool
Stress Testing
* Managed reverse stress testing for a UK bank, fine-tuned risk appetite and risk management policies for ICAAP. Presented IST and ACS Stress testing results for Management discussion and regulatory submission
* Developed stress testing model for securitisation portfolio and calculated stressed RWA using 2018 PRA stress scenarios for a Tier I UK bank
Credit Risk
* IFRS9 Model Audit: drove methodology review and implementation testing for various UK banks and societies
* Developed IFRS 9 impairment models for wholesale and retail portfolios. Developed forward-looking and lifetime PD/LGD models, framework to convert TTC PDs to PIT, and staging criteria
* ECB TRIM: validated PD & LGD models for mortgage, behavioural and application scorecards for unsecured retail portfolios. Designed regulatory compliant model monitoring framework in SAS, for a UK high street bank
* Performed model remediation of wholesale portfolio for a large UK bank
IBOR Transition
* Guided front book pricing analysis on interest rates' margin revisions; with credit risk considerations and discount curve change impact at two top tier UK banks
* Managed development for new non-LIBOR products (RFRs and Base rate) across go-live landscape
* Leading a team for tracking RFR product conventions in the cash and derivative market for G5 currencies
Business Development
* Basel IV: built the toolkit for impact analysis of changed rules on RWA numbers and the increasing standardized floors for major UK banks and building societies
* IBOR: assisted in constructing focus areas and factors for products, contracts, processes & systems transition. Played a substantial role in coming up with the solution for IBOR contracts management and product strategy. Organized the ISDA roundtable for the IBOR RFR discussions in 2018
* Contributed to RFP responses and proposal material, including marketing collateral
Counterparty Credit Risk
* AQR CVA: constructed framework to identify gaps with proposed actions for a large UK bank pre-inspection
* Collateral value adjustment: analysed the impact of moving to own estimates of volatility adjustment from supervisory estimate
* Credit and CCR: translated regulatory guidelines to suggested business actions for relevant articles from CRR and RTS for a proprietary EY tool
Stress Testing
* Managed reverse stress testing for a UK bank, fine-tuned risk appetite and risk management policies for ICAAP. Presented IST and ACS Stress testing results for Management discussion and regulatory submission
* Developed stress testing model for securitisation portfolio and calculated stressed RWA using 2018 PRA stress scenarios for a Tier I UK bank
Credit Risk
* IFRS9 Model Audit: drove methodology review and implementation testing for various UK banks and societies
* Developed IFRS 9 impairment models for wholesale and retail portfolios. Developed forward-looking and lifetime PD/LGD models, framework to convert TTC PDs to PIT, and staging criteria
* ECB TRIM: validated PD & LGD models for mortgage, behavioural and application scorecards for unsecured retail portfolios. Designed regulatory compliant model monitoring framework in SAS, for a UK high street bank
* Performed model remediation of wholesale portfolio for a large UK bank
IBOR Transition
* Guided front book pricing analysis on interest rates' margin revisions; with credit risk considerations and discount curve change impact at two top tier UK banks
* Managed development for new non-LIBOR products (RFRs and Base rate) across go-live landscape
* Leading a team for tracking RFR product conventions in the cash and derivative market for G5 currencies
Business Development
* Basel IV: built the toolkit for impact analysis of changed rules on RWA numbers and the increasing standardized floors for major UK banks and building societies
* IBOR: assisted in constructing focus areas and factors for products, contracts, processes & systems transition. Played a substantial role in coming up with the solution for IBOR contracts management and product strategy. Organized the ISDA roundtable for the IBOR RFR discussions in 2018
* Contributed to RFP responses and proposal material, including marketing collateral
Monitoring, UP, Processes, Contracts, Framework, Go, Audit, Wholesale, Development, Testing, Regulatory, Marketing, Implementation, RFP, SAS, Management, Risk Management, Audit, Contracts, Retail, Business development
2016 - 2017
job
Risk Analyst
Moody's Analytics Knowledge Services.
Risk & Finance Analytics
* Consulted in London to assist a major UK bank's ring-fencing structural reform and IRB submission. Performed self-assessment against CRD IV, RTS and PRA SS11/13 regulations
- Reviewed corporate SME, mid-market corporate PD, and Commercial Real Estate models
- Performed gap analysis against published RTS updates and recommended model reforms
- Worked with model owners and validation teams to identify gaps and plan remedial actions
* Contributed to the go-to-market collateral, and the solutions discovery process for - IFRS 9, EMIR, MiFID II, collateral management, and operational risk
* Studied the FRTB capital impact of modellable risk factors; analysed the marginal risk contribution of individual positions to the overall capital charge
* Developed, validated and calibrated Basel II/III single obligor PD, LGD & EAD models for wholesale portfolios of banking clients
* Developed Basel II PD model using logistic regression in SAS for the retail portfolio for one a US BHC
* Consulted in London to assist a major UK bank's ring-fencing structural reform and IRB submission. Performed self-assessment against CRD IV, RTS and PRA SS11/13 regulations
- Reviewed corporate SME, mid-market corporate PD, and Commercial Real Estate models
- Performed gap analysis against published RTS updates and recommended model reforms
- Worked with model owners and validation teams to identify gaps and plan remedial actions
* Contributed to the go-to-market collateral, and the solutions discovery process for - IFRS 9, EMIR, MiFID II, collateral management, and operational risk
* Studied the FRTB capital impact of modellable risk factors; analysed the marginal risk contribution of individual positions to the overall capital charge
* Developed, validated and calibrated Basel II/III single obligor PD, LGD & EAD models for wholesale portfolios of banking clients
* Developed Basel II PD model using logistic regression in SAS for the retail portfolio for one a US BHC
Retail, Management, Finance, SAS, Analytics, Banking, Assessment, Analyst, Wholesale, Go, MiFID
2016 - 2016
job
Market Risk Associate
BNP Paribas.
Portfolio Risk Analytics
* Worked in the Paris headquarters to implement liquidity risk stress testing for multiple funds; LCR and 30-day stressed LCR, compliant with EBA regulations
* VaR modelling using historical and Monte Carlo simulation for European pension portfolios
* Performed stress testing with fund and asset analysis using BNP internal scenarios
* Performed monthly back-testing with analysis of changes in VaR
* Trained a 15-member team on equity return attribution for funds' performance evaluation
* Worked in the Paris headquarters to implement liquidity risk stress testing for multiple funds; LCR and 30-day stressed LCR, compliant with EBA regulations
* VaR modelling using historical and Monte Carlo simulation for European pension portfolios
* Performed stress testing with fund and asset analysis using BNP internal scenarios
* Performed monthly back-testing with analysis of changes in VaR
* Trained a 15-member team on equity return attribution for funds' performance evaluation
Analytics, Testing, Pension, Market Risk
My education
Symbiosis International University
MBA, Finance
MBA, Finance
Anna University
Bachelors, Electronics and Communication
Bachelors, Electronics and Communication
CFA Institute
N/a, N/a
N/a, N/a
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