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Tushar Rustagi

Tushar Rustagi

Senior Analyst

Followers of Tushar Rustagi1000 followers
location of Tushar RustagiDelhi, India

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  • Timeline

  • 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