1. ACADEMIC RECORD
2011 PGDIM (MBA) NITIE,Mumbai 8.14/10.0 Distinction
2006 B.Tech(Electronics & Tel.) College of Engg Roorkee 69.6% 1st Division
2002 XII (CBSE) Holy Mission School 80.8% 4th Rank in School
2000 X (CBSE) Patna Central School 80.0% 4th Rank in School
CURRENT WORK EXPERIENCE
Yes Bank Market Risk Management (Assistant Vice President) 54 months (May ’11 to Till Date)
 Analysis of Dealerwise & Floor level limits of the Interest Rate Risk(PV), Rotation Risk measurement(Non-
parallel movements), Stop Loss Limit and as well as P/L analysis and attribution
 Analysis, Valuation, reporting and control of transactions of G-secs, Corporate Bonds, IRSs, Options, etc. for
rate reasonability
 Analyzing and computing Bank-wide Market Risk Charge as per Basel 3
 Developed the Backtesting model for VaR model of the bank
 Conduct the Stress testing for the bank as per the regulatory guidelines as well as daily Stressed VaR
 Perform Portfolio compression and OIS netting for the bank
 Computation of RAROC on investments, using the FTP and IRR for the investments
 Forecast of capital adequacy projections given the investment pipeline for the bank
 Automation of various processes/tasks using Macro methods
 Investment Portfolio trend analysis as per ratings, MTMs, Issuer and Industries
 Interact with auditors and addressing their audit points
 Continual interaction with dealers and Relationship Teams and suggest portfolio realignments
Other areas of understanding
 Conceptual understanding of Stochastic Calculus, Martingales, Black Scholes, PDE, Markov processes
 Understanding of various modelling techniques of Interest Rate and Volatility, Jump-Diffusion model et al.
 Understanding of Econometrics methods viz. Multiple Regression, Time Series models
 Understanding of Monte Carlo Simulation
PREVIOUS WORK EXPERIENCE
Infosys Technologies Ltd. Software Developer 34months (July2006 –May2009)
 Project: Worked on Billing part of OSS/BSS Telecom domain framework for a Fortune 100 Company
Achievements
 Enhanced and maintained the existing Infrastructure by coding in Programming
Language(PL1) and database(DB2)
 Developed User Interfaces on Rapid Development tool (Sapiens)
 Defect Prevention anchor : Pareto analysis for the defects in the production release of
deliverables; Knowledge management Lead
WINTERAND SUMMERINTERNSHIP
Yes Bank Ltd On the Job Training 8 weeks (March’11 to April’11)
Study of the various Treasury products and their attendant risks
Anand Rathi Financial Services Worksite Financial Services 8 weeks (April’10 to June’10)
Project Title: Develop Worksite Financial Services Strategy
 Retail Distribution pricing determination & worked out pricing of Worksite Financial services
CERTIFICATIONS & TRAININGS
CFA Passed Level 2
FIMMDA Underwent FIMMDA training session on VaR
DUN & BRADSTREET Completed D&B - Derivatives Executive Development Program
NCFM Completed NCFM Certification in Securities and Operations Module and IRDs
VAIBHAW KUMARMISHRA
MALE DOB: OCT 26, 1985  : +91 9619487794
 kmvaibhaw@gmail.com