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Tushar Rustagi

Tushar rustagi

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location of Tushar RustagiDelhi, India
Phone number of Tushar Rustagi+91 xxxx xxxxx
Followers of Tushar Rustagi1000 followers

  • Timeline

    Jul 2011 - May 2013

    Senior Analyst

    Accenture (Financial Services)
    Oct 2015 - Jan 2017

    Lead Analyst - Derivatives Market Risk Valuation

    Barclays Investment Bank
    Jan 2017 - Sept 2018

    Assistant Manager - Quantitative Research

    The Smart Cube
    Sept 2018 - Jan 2020

    Associate - Quantitative Equity Research - Smart Beta Based Portfolio Construction and Valuations

    MSCI Inc.
    Jan 2020 - Dec 2021

    Associate Manager - Complex Securities Valuation

    EY
    Jan 2022 - Jan 2023

    Experienced Manager

    BDO RISE Private Limited
    Current Company
    Jan 2023 - now

    Senior Manager

    PwC

  • About me

    Senior Manager - PwC Advisory Deals - Complex Securities Valuation || Ex- BDO RISE || Ex - EY

  • Education

    • Jaypee institute of information technology

      2007 - 2011
      Bachelor of technology (b.tech.) electrical, electronics and communications engineering

    • International management institute - imi

      2013 - 2015
      Master of business administration (m.b.a.) finance, general

  • Experience

    • Accenture (financial services)

      Jul 2011 - May 2013
      Senior analyst

    • Barclays investment bank

      Oct 2015 - Jan 2017
      Lead analyst - derivatives market risk valuation

    • The smart cube

      Jan 2017 - Sept 2018
      Assistant manager - quantitative research

      Worked on creating a framework for Volatility Arbitrage trading strategies using Volatility swaps.Smart Beta & Trading Strategies - Factor Based Portfolio ValuationsCo-authored a white paper on Smart Beta and the evolution of factor-based investing researching a new factor Momentum Slope.Created Backtesting Frameworks for trading strategies:Momentum, Volatility and Value factors – combination portfolio – different weighting schemes - Market Cap Weighted, Inverse Volatility Weighted, Price Weighted, Equal Weighted etc. - ExcelMomentum Factor - Machine Learning - Support Vector Classification, Random Forest – Python.Momentum Factor - Total Return, Residual Return with rolling regression on Fama French Factors – Excel and Python.Mean Reversion Relative Value/Pair Trading – Rolling Regression, Hurst Exponent, Mann Kendall Test, Bollinger Bands, Pair Ratio – Signal Generation – ExcelDerivatives ValuationExcel Frameworks:Delta one products Valuation- FRAs, Swaps – Dual Curve Methodology – Initial Margin Calculation based on 99% Value-at-Risk (CME) and 97.5% Expected Shortfall (LCH).Swaptions – Black 76 Model, Options Greeks – Black Scholes ModelZero Curve construction – Bloomberg Par rates data.Other Projects:Multiple Portfolio Performance and Risk Analytics Tool - Hedge Fund - Excel and Python.RWA/EAD Haircut calculation - Regulatory submission for a leading US custodian bank - Excel and SQL Automation. Show less

    • Msci inc.

      Sept 2018 - Jan 2020
      Associate - quantitative equity research - smart beta based portfolio construction and valuations

    • Ey

      Jan 2020 - Dec 2021
      Associate manager - complex securities valuation

    • Bdo rise private limited

      Jan 2022 - Jan 2023
      Experienced manager

    • Pwc

      Jan 2023 - now
      Senior manager

  • Licenses & Certifications

    • Passed cfa level 2 exam

      Cfa institute

    • Passed frm level 1 exam

      Global association of risk professionals (garp)

    • Six sigma green belt certification

      Kpmg

  • Honors & Awards

    • Awarded to Tushar Rustagi
      Propel Award Accenture Financial Services Certification of Appreciation for Exemplary performance