Vivek Srivastava

Senior Manager, Quantitative Analytics and Quant Dev at x Investment Bank
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Contact Information
us****@****om
(386) 825-5501
Location
Krakow Metropolitan Area, PL

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Credentials

  • Object-Oriented Data Structures in C++
    University of Illinois at Urbana-Champaign| Coursera
    Mar, 2023
    - Nov, 2024
  • Master of Science in Quantitative Finance
    WorldQuant University
    Jun, 2020
    - Nov, 2024
  • Python Data Structures - University of Michigan
    Coursera Course Certificates
    Sep, 2018
    - Nov, 2024
  • Fundamentals of Quantitative Modeling
    University of Pennsylvania
    May, 2018
    - Nov, 2024
  • Programming for Everybody (Getting Started with Python)
    University of Michigan
    May, 2018
    - Nov, 2024
  • Bloomberg Market Concepts
    Bloomberg LP
    May, 2017
    - Nov, 2024
  • Certified Technical Analyst
    National Stock Exchange of India Limited
    May, 2017
    - Nov, 2024
  • Trading Algorithms - Indian School of Business
    Coursera Course Certificates
    Feb, 2017
    - Nov, 2024
  • The Global Financial Crisis
    Coursera Course Certificates
    Dec, 2016
    - Nov, 2024
  • Introduction to Financial Markets - Indian School of Business
    Coursera Course Certificates
    Nov, 2016
    - Nov, 2024
  • Trading Basics - Indian School of Business
    Coursera Course Certificates
    Nov, 2016
    - Nov, 2024
  • Understanding Financial Markets - University of Geneva
    Coursera Course Certificates
    Nov, 2016
    - Nov, 2024
  • Certification in Digital Marketing
    Shaw Academy
    Oct, 2016
    - Nov, 2024
  • Certification in Investment
    Shaw Academy
    Oct, 2016
    - Nov, 2024
  • Certification in Microsoft Excel
    Shaw Academy
    Sep, 2016
    - Nov, 2024
  • Financial Trading
    Academy of Financial Trading
    Sep, 2016
    - Nov, 2024
  • Global Macro Trading
    Udemy
    Aug, 2016
    - Nov, 2024

Experience

  • x Investment Bank
    • Investment Banking
    • 1 - 100 Employee
    • Senior Manager, Quantitative Analytics and Quant Dev
      • Nov 2019 - Present

      > Built contingent margin calculation model using C#, Python & SQL for Structured Rates desks for various downgrade scenarios as per Basel norms • Developed an end to end application on cloud for Bid offer reserve calculations & Fair Value analytics for Credit desk using Python & Dash. This automation saves approx. 400 hours yearly for Valuations & FO. Also built features for handling Valuation 4 calculations under ViR • Implemented FVA, PVA, Points upfront methodologies & Responsible for timely releases for analytical enhancements • Implemented microservices for various modules of the tool & built a thin UI to interact with API’s • Implementation of rating based triggers methodologies in Python for calculating contingent liquidity • Development & maintenance of Fixed income P&L Attribution models using ML > Enhancing C++ Lib for XVA Valuations and Treasury • Responsible for hiring, building quant teams & management responsibility of few quant analysts & quant developers • Developed automated reports in Python for XVA desk & treasury • Comparative analysis to find differences in XVA Shocks and ratings of counterparties across bank • Anomaly detection on cash flows of all traded asset classes using Z-Score and Quantiles • Assess the impact on XVA numbers (CVA, DVA, FFVA) by tuning various model parameters in C++ • Responsible for building/ maintaining C++ tools using pricing engine for fair value adjustments • Contribute to C++/ Python quant libraries, contributing to modeling efforts, and providing expertise in implementation • Building reusable components for broader analytics teams. • Moved computation layer of various quant tools to REST API’s for cross platform analytics • Migrated data storage layer of various analytical tools from SQL to AWS S3 using Python • Regular review of rating based contingent liquidity model calculations • Helping colleagues regularly for monthly library releases, mentoring employees learning Python Show less

  • Moody's Analytics
    • United States
    • Financial Services
    • 700 & Above Employee
    • AVP - FX/Rates Quant
      • Jul 2018 - Oct 2019

      Quantitative Development/analytics for FX, Rates & Commodities • Developed the FX model using Geometric Brownian Motion and developed a web-based reactive dashboard with Python & Dash for sensitivity analysis of forward FX rates, volatilities and correlation frequency on hedging benefit and VaR • Worked on Monte Carlo Simulation models in Python - for FX and IR desks, to generate hedging strategies using IRS, CCS, FX Forwards and corresponding VaR’s for optimal FX and Debt restructuring • Modelling yield curves based on different instruments and calibration of hull white model • Led development of a profitable FX and Interest Rates portfolio analytics platform (https://bit.ly/moodys-navigator) Quant Research and Model Review • Assisted the Quantitative Research & Model Review group of a top US Bank for validation of Credit Edge model • Assisted the quant research group in hiring of quant analysts Show less

  • The D. E. Shaw Group
    • United States
    • Financial Services
    • 700 & Above Employee
    • Treasury Analyst
      • Nov 2015 - Jun 2018

      Liquidity, Collateral and Risk Management • Working on liquidity and collateral management for various funds of DE Shaw. Also work on Credit risk management and Margin & financing optimization using proprietary tools developed by Shaw. • Responsible for monitoring and reporting the liquidity for various DE Shaw's entities Responsibilities: • Analyzing collateral calls and monitoring short term liquidity of funds; gaining a strong understanding of the portfolio, it’s financing structure and dynamics to efficiently analyze causes for change in liquidity. • Understanding the various margining methodologies of the several agreements in a portfolio and tracking the internal view of margin • Handling ad-hoc projects related to portfolio optimization, ensuring correct positions for various portfolios, • Coordinating with other teams towards resolution of issues by effectively analyzing the cause and effects, and managing stakeholder expectations. • Liaising with the technology teams for enhancements; providing tech specifications as per the strategic goals and testing new features Securities Lending • Responsible for establishing new securities lending deals as alternatives to our prime brokerage financing. • Responsible for managing the inventory of borrows and collateral under these relationships • Part of the team which saved ~ $25MM in financing costs each year by entering into new relationships • Tracking exposure of each counterparty across various D.E Shaw funds Show less

  • Genpact
    • United States
    • Business Consulting and Services
    • 700 & Above Employee
    • Business Analyst
      • May 2014 - Nov 2015

      • Generated market data which involves production of forward rates based on different yield curves and stress testing scenarios for European banking subsidiaries of a major financial services company. • Worked on the market data production side of asset liability management, which involves generation of forward rates for around 70+ yield curves and 40+ scenarios • Data quality checks and validating the interest rates by reviewing month to month changes of input and output rates for various yield curves • Assisting the clients with ad-hoc queries such as addition of customized scenarios based on rate shocks, & addition of new currencies to the model • Developing ALCO presentation for a major European bank using monthly reports • Assisting in process automation across the vertical using automation of various processes Show less

  • Software Developer
    • United States
    • Software Development
    • 1 - 100 Employee
    • Software Developer
      • Mar 2011 - Jul 2014

      • Built websites using PHP, Linux, Apache to implement personal ideas and monetized them to some extent using Ads • Build and maintained a blog on analytical topics and licensed few articles to third party vendors (few articles licensed by Dun & Bradstreet) • Built websites using PHP, Linux, Apache to implement personal ideas and monetized them to some extent using Ads • Build and maintained a blog on analytical topics and licensed few articles to third party vendors (few articles licensed by Dun & Bradstreet)

  • SIDBI(Small Industries Development Bank of India)
    • India
    • Financial Services
    • 700 & Above Employee
    • Summer Intern
      • Apr 2013 - May 2013

      Tasks performed while doing a project named "Risk Management in Project Finance for MSME's"- • To carry out qualitative and quantitative analysis of risks identified in various projects financed by SIDBI • Built a model for rating various facilities provided to a client • To understand credit risk management principles used in SIDBI • Updating and customization of financial models & other research offerings to suit client requirements • Performed credit rating analysis for multiple clients requiring project finance Show less

  • IMS Engineering College
    • India
    • Education
    • 1 - 100 Employee
    • Member of Software Development Group
      • Mar 2010 - Dec 2011

      Led the development of a web application for publishing research papers using LAMP Stack (Linux, Apache, MySQL, and PHP). This was funded by university and running at ijrimsec.com Led the development of a web application for publishing research papers using LAMP Stack (Linux, Apache, MySQL, and PHP). This was funded by university and running at ijrimsec.com

  • LD Management Consultants
    • IT Services and IT Consulting
    • 1 - 100 Employee
    • Summer Engineering Intern
      • May 2010 - Jul 2010

      Project titled "Cadastral Mapping system Development for State Remote Sensing Application Center" was completed. Responsibilities included were: • To develop the web application prototype that shows GIS data on web. • Rectification and vectorization of images through ESRI’s ARC GIS technology and database development • Understand .Net Programming principles Project titled "Cadastral Mapping system Development for State Remote Sensing Application Center" was completed. Responsibilities included were: • To develop the web application prototype that shows GIS data on web. • Rectification and vectorization of images through ESRI’s ARC GIS technology and database development • Understand .Net Programming principles

Education

  • Middlesex University
    Postgraduate Certificate, Valuation and Risk
    2019 - 2020
  • Dr. A.P.J. Abdul Kalam Technical University
    Bachelor of Technology, Computer Science and Engineering
  • IFMR Graduate School of Business - Krea University
    Masters in Financial Engineering, Financial Engineering
  • WorldQuant University
    MS in Quantitative Finance, Quantitative Finance

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