AMIT SUREKA

• Leading the Mumbai Investment data & reporting and quant analytics team for ISGI

Market risk head of APAC region & Emerging Markets

• Managing a team comprising of AVPs and subordinates (20+ members across Mumbai and Pune locations)
• Key activities of the role:

HS (FR methodology) VAR/SVAR/IRC/TCP analysis

Limit & Volcker Breach analysis & commentary

VAR Backtesting and market commentary

Stress Testing of exotic trades using valuation libraries (DBA)

What-if analysis of new trade and product approvals

Economic Capital analysis and commentary

FRTB IMA analytics and tooling

• Key Analytics and technical Projects:

Analytical new generation visualization dashboards in tableau to automate analytics and self-service tools for FO and risk managers

1) Predictive analytics - Self-service tools to predict new VAR /EC by entering new trade sensitivities helping in new trade approvals. Full revaluation what-if using dynamic DBA pricing in python. Improved efficiency as risk managers don't need to reach out to MRAC for their what-if requirements.

2) New generation explain tools in tableau - Self-service tools to explain the FRTB IMA/VAR / SVAR / IRC numbers. Key challenge overcome was automation of risk at tenor level * market data shocks to explain the scenario pnls (Got feedback from risk managers that this difficult automation was not achieved at other peer banks - Nominated for DB Excellence 'Innovation' award for this project)

3) Large language models based chat bots - Work in progress to create chat bots which would be self-service models for all queries of risk managers thereby increasing efficiency of whole department.

4) Automation of legal entity backtesting: Remediated backtesting audit points pending for 3 years by building a fully automated backtesting process utilizing Python &Tableau - Involved large amount of data involving 60 legal entities across the whole APAC region

• Part of non-strategic unit MRM team handling market risk analysis and control activities for long dated Option products of all asset classes (IR/FX/EQ)
• Activities included daily VAR commentary, backtesting, limits analysis etc.

• Key job skills: KDB / Q Electronic Tick Data Analysis , MIS Dashboards using VBA, Building trading strategies for Global Macro Trading
• Key Projects:

Constructing econometric models for global macro trading Constructed quantitative country score-based predictive models to generate long/short strategies to trade global markets. Models were based on various economic indicators like manufacturing PMIs, Inflation Indicators, Central Bank rates etc

Optimization of electronic trading through ML techniques

Backtesting HK MOC algorithms using KDB/Q tick data and improving the performance of algorithm by 30%