VS ARUN KUMAR

Delhi, Delhi, India

Yearly Stats: $0 Earned |

Financial Risk Management

Solvency II and ORSA Internal Model
• Mergers & Acquisitions : Estimating an acquisition’s impact on economic capital
adequacy
• Risk Appetite Framework: Documenting changes to risk appetites
• Solvency II: Conducting Internal Model Runs, Minimum Capital and Solvency Capital
requirement calculations, Documentation
• Modeling: VaR Calibration, Sensitivity tests and S2 Materiality assessment
• Market Risk: Asset Only & ALM view, generate & sort scenarios for model runs
• Credit Risk: Stochastic modeling of PD, EAD and LGD
• Regulatory Reporting: Group VaR/TVaR for key risks above a stated threshold

Statistical and Financial Data Modeling and Analysis
• Risk Appetites: Calculation and explanation of group risk appetites
• Risk Decomposition: GAAP v Economic Capital at varying confidence levels
• Risk Rankings: Towers of risk - Rank risks at varying confidence levels
• Diversified v Undiversified Loss and Downside volatility of GAAP earnings
• Capital Calculation: Required Capital - Economic Capital Buffer
• Capital Allocation: CoTVaR based allocation to businesses and segments
• Performance Measurement: RAROC, IRR v Hurdle Rate, Leverage Ratio
• Enterprise Risk Dashboard: Summarize, update and sort key risks for review
by the Chief Risk Officer every month

Risk Analytics
• Develop risk mitigation strategies
• Conduct due diligence and analyze Risk/Return metrics
• Collaborate with model owners and develop high quality model documentation
• Develop and make business case presentations

$75 / Hour
$0 minimum budget