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Saloni S.

Saloni S.

Summer Intern

Followers of Saloni S.2000 followers
location of Saloni S.Mumbai, Maharashtra, India

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  • Timeline

  • About me

    Vice President | Global Risk | Nomura

  • Education

    • Indian Institute of Technology, Jodhpur

      2012 - 2014
      Master’s Degree Computational Finance and Risk Management

      Master's Thesis on Filtered Historical Simulations using non-normal GARCH innovations for computation of Value at Risk (VaR). In order to capture the fat-tailed behaviour of stock returns, VaR models were built and backtested using different distributions.

    • Uttar Pradesh Technical University

      2006 - 2010
      Bachelor’s Degree Electronics and Instrumentation Engineering

  • Experience

    • Institute For Plasma Research

      Jun 2009 - Jun 2009
      Summer Intern

    • Infosys

      Jul 2010 - Jul 2012
      System Engineer

      Developer - TIBCO based web services for B2B integration of a UK mobile phone retailer.

    • Motilal Oswal Financial Services Ltd

      Sept 2013 - Nov 2013
      Research Internship

      Value at Risk calculations for an asset allocation scheme using both paramteric and non-paramteric methods.

    • CRISIL Global Research & Analytics

      Aug 2014 - Sept 2017

      Model Development- Systemic risk analysis for a multinational bank to quantify SRISK and rank order european banks based on the level of systemic importance. Model Validation - Credit risk models for a global investment bank. Model Development- Macro-factor based econometric models for key market parameters like interest rates, equities, credit spreads etc. for a leading bank for CCAR stress testing.

      • Senior Quantitative Analyst

        Apr 2016 - Sept 2017

      • Quantitative Research Analyst

        Aug 2014 - Mar 2016

    • Credit Suisse

      Oct 2017 - Aug 2019
      Exempt Non-Officer

      Model Validation - Liquidity and Funding Risk models covering bank's internal framework and regulatory mandates as well as CFO Core models for revenue forecasting and capital planning.

    • Nomura

      Aug 2019 - now

      Risk Methodology Group, Credit Risk Analytics on Counterparty Credit Risk - Exposure Modeling for OTC Derivatives.

      • Vice President

        Apr 2023 - now

      • Assistant Vice President

        Apr 2021 - Mar 2023

      • Senior Associate

        Aug 2019 - Mar 2021

  • Licenses & Certifications

    • Financial Risk Manager (FRM®) - Part I

      Global Association of Risk Professionals (GARP)
      Nov 2016

    • SAS Certified Base Programmer for SAS 9

      SAS
      Apr 2015

  • Honors & Awards

    • Awarded to Saloni S.
      The Chairman, Board of Governors Prize Indian Institute of Technology, Jodhpur Jun 2014 Received the Chairman, Board of Governors prize for best academic performance.