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Gurgaon, Haryana

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Arpit Narain, CFA, FRM Assistant Manager - Market Risk/Treasury Risk, Financial Risk Management Consulting - KPMG Advisory; FRM(USA); CFA(USA) Charterholder Financial Risk Management Consulting Email:arpitnarain1@gmail.com Mobile:+91 9960671271 Linkedin Profile: in.linkedin.com/pub/arpit-narain-cfa-frm/11/a97/914 Specialties -5 Yrs of industry experience -Financial Risk Consulting:Market Risk modeling,Hedging Strategy,Hedge Accounting/Audit engagements(FAS133) -Implementation of proprietary dynamic backtesting models to test trade effectiveness -Hedge Fund Strategist:Pair trading,Momentum based strategies,proprietary trading techniques,Linear/Non-linear basket optimization,Risk optimization -Quant Valuation:FX,Interest Rates,Exotic Derivatives -Adv quant algorithms in Excel/VBA -Tools:Bloomberg,Fincad,Minitab Experience Assistant Manager/Senior Consultant - Market Risk, Financial Risk Management Consulting KPMG Advisory Partnership; 10,001+ employees; Accounting industry February 2012 – Present; Gurgaon, India Responsibilities include: 1) Working on Financial Risk Consulting assignments in the Market Risk domain 2) Working on client-specific pilots/corporate case studies and present it to the clients/prospects in different geographies to showcase team capabilities 3) Valuation Specialist for Exotic Derivatives/Structured Products, Hard-to-price securities 4) Implementing Portfolio Risk Measures: ==> Value-at-Risk (VaR): Local Valuation (Delta Normal, Gamma/Convexity), Full Valuation (Monte Carlo, Historical Simulation) ==> Expected Shortfall (ES): Monte Carlo Integration, Newton Cotes methods (Trapezoidal rule, Simpsons 3/8 rule) etc 5) Creating Optimized hedging strategies and methodologies to calculate the Dollar Market Risk Exposures i.e. Price Risk, Interest Rate Risk and Currency Risk exposures (Financial Greeks/Sensitivities) for the clients trading book. 6) Designing Cost effective hedging basket based on linear optimization of hedge ratios to mitigate risk. 7) Implementing Stochastic/Deterministic Quantitative Pricing/Valuation Models using Advanced EXCEL/VBA for the following: ==> Equity/Commodity/FX: Exotic options, Swaps, Plain Vanilla Options, Forwards/Futures. ==> Interest Rates: Options, Swaps, Swaptions, Forwards/Futures. ==> Hybrids: Bull/Bear/Box Spreads, Straddles/Strangles, Butterfly, Risk Reversal etc. ==> Option Pricing Models: Practitioner’s Black Scholes, Cox-Ross Rubinstein, Tian, Trigeorgis, Monte Carlo etc. 8) Advanced Mathematical Techniques: Numerical Integration, Finite Dimension Optimization, Interpolation, Curve Generation etc 9) Simulation Techniques: Monte Carlo, Finite Difference & Tree based methods. 10) Highly Customized Analytical Tools: Stress testing, Backtesting, Scenario analysis & Sensitivity analysis tools. 11) Advanced regression/forecasting techniques: MA, ANOVA, Linear/Log trends using OLS etc. 12) Involved in the Derivatives based Hedge Accounting/Audit engagements (FAS133) Senior Quantitative Analyst (For UK Based Top Tier Global Hedge Fund Client) The Smart Cube Pvt Ltd Privately Held; 201-500 employees; Research industry February 2011 – January 2012 (1 year) Noida Worked for the Hedge Fund Trader/Portfolio Manager. As a Quantitative Valuation Modeler/Hedge fund strategist/Product Researcher/Market Risk Quant,I was involved in the design and implementation of the following: 1) Designed and implemented strategies to create "Cost-Effective Hedging Basket" based on Linear Optimization of hedge ratios, so as to mitigate portfolio risk. 2) Implemented "Complex Hedge Fund Trade Strategies" including Linear/Convexity IR trades, Carry Return FX pair trades, Moving Average Crossover trades, Other Long/Short basket trades etc. 3) Designed/Implemented "Dynamic Real-time Cross-Asset (IR/FX/Equity/Commodity) Dashboard" in Advanced Excel/VBA sourcing data from Bloomberg. This dashboard included a) multiple rankers to signal Buy/Sell strength for FX crosses, b) Optimizer tool for interest rates specific portfolio using the Duration altering strategies based on Steepeners/ Flatteners/ Butterfly indicators, c) determinants of strength of the Momentum and its direction to determine effective Interest Rate trade strategies, d) spotting of Arbitrage Opportunities and performing Breakeven Analyses for pair trades. 4) Designed/Implemented "Risk Optimization Tool" in Excel/VBA; sourcing data from Bloomberg for Optimizing the overall portfolio of hedged & hedging basket of Equity, Bond, Interest Rate Swaps, CDS and FX Instruments using Generalized Reduced gradient (GRG) Algorithm. 5) Designed/Implemented "Carry Trade Optimizer Tool" that implements ‘linear optimization’ of ‘FX pair trading strategy’ based on ‘Long/Short FX baskets’ of emerging market currencies using Advanced Excel/VBA, Bloomberg. 6) Built "VBA based VaR Calculator" to create an excel function that calculates VaR by specifying Bloomberg ticker for a given instrument, historical date range for data, the confidence interval, the VaR horizon and the method for VaR calculation (like Parametric method, scenario based historical simulation and Monte-Carlo simulations) Financial Risk Consultant/Derivatives Analyst Torux Private Limited Privately Held; 11-50 employees; Financial Services industry November 2009 – February 2011 (1 year 4 months) Pune Area, India Torux is a Cross-Asset Derivatives Valuation/Financial Risk Management product based firm. My responsibilities were: 1) Product Research/Quantitative Analysis/Risk Strategy Designing as well as creating Financial Models for pricing Plain Vanilla / Exotic Derivatives, FX and Interest Rate instruments etc,using Excel VBA 2) Involved in Stress Testing/Model Validation for different models used in the our proprietory Cross-Asset Valuation/Risk Management Product 3) Involved in the implementation of Corporate Business Cases to provide “Project Financing” solutions to the client firms. This is done using Real Option Analysis with Black-Scholes, Binomial Cox Ross, Tian, Trigeorgis,Jarrow-Rudd, Monte Carlo etc 4) Responsible for designing various mathematical algorithms such as Interpolation techniques for building Implied Volatility Surface, yield curves etc, for their use in our product 5) Designed a Scenario Analysis Tool to simulate the P & L values for a given position or a portfolio of positions on giving shocks to various market related stochastic variables. This is done to analyze the risk sensitivities and is used in designing the portfolio hedging strategies 6) Responsible for designing the calculation logic for the Financial Greeks (Delta, Gamma, Rho, Theta, Epsilon, Vega etc) as well as other interest rate sensitivities (Duration, Convexity etc) for the clients’ portfolio; and then designing “Risk Management Strategies” through different plain vanilla/structured products to hedge the portfolio using these Greeks 7) Involved in designing the calculation logic for different portfolio columns (Realized P&L, Unrealized P&L, Theoretical Price, Income, Asset Value, Balance, etc) that are related to the clients’ positions 8) Designed the mechanism to generate end-of-day P&L reports for clients’ portfolio 9) Involved in the design and implementation of Trade/Deal management business work-flow model that automatically handles the trade bookings Software Engineer HSBC Global Technology India Privately Held; 5001-10,000 employees; Information Technology and Services industry July 2007 – October 2009 (2 years 4 months) Pune Area, India Worked on a Technical/Functional/Business mix role, the details of which are mentioned below: 1) Solely handled the "Consolidated Revenue Information System" used in the Management Reporting for the deals related to Equities, Equity Forward/Futures/Options, Debt/Fixed Income, FX / FX Options, Credit Derivatives and other Plain Vanilla/Exotic Derivatives trades that are done through 24 different HSBC entities in Americas, EMEA (Europe, Middle East and Africa) and APAC (Asia Pacific) region. 2) Designed the calculation logic required for the consolidation of raw trade data, so as to report that in a business intelligent format. 3) Was solely responsible for the Development, Business Analysis as well as Operational Risk Management for the Application. 4) Designed the cases for the stress testing and back testing of the application so as to avoid any critical failures in the production. 5) Was the single point of contact for the entire business area vis-a-vis the management reporting handled by CRIS. 6) Analyzed the dependencies and migrated the jobs from the Reporting database to the Enterprise Layer database that lead to the cost saving of $100000 (approx.) per annum. 7) Involved in the domain training to the various teams at HSBC, for the different financial products such as Equities, Fixed Income, Derivatives, and Foreign Exchange etc.

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