NANCY VERMA
Jersey City,NJ
Summary
Experienced Quantitative Finance and FinTech Professional with experience and background in leading teams building systems for Quantitative Risk models and methodologies including Market Risk, Credit Risk, Stress-testing, Liquidity Risk and Model back-testing. Hands-on experience in design and development of Quantitative Risk Systems. Excellent team lead and team player with a proven ability in driving results and delivering end-products by working with cross-functional teams across the organization. Active pursuant of new skills and technologies through online certifications.
Overview
15
15
years of professional experience
1
1
Certification
Work History
DIRECTOR, FINANCIAL RISK MANAGEMENT
OPTIONS CLEARING CORPORATION
10.2021 - Current
- Led development of Flink-based Intra-day Risk system enabling near real-time calculation of P/L and hourly monte-carlo simulation leading up to risk measures of VaR and Expected Shortfall for clearing member portfolios.
- Led development and designed data model for the implementation of Basel SA-CCR methodology for counterparty credit risk exposure.
- Led development of Liquidity Risk and Default Management System factoring in different default times, cash flows and pre-defined Margin Period of Risk (MPOR) leading up to liquidation and auction to close-out defaulting clearing member positions.
- Planned monthly, quarterly and yearly milestones and roadmap for the risk systems and provided regular status updates, demonstrations, risks and blockers to senior management.
- Collaborated with OCC's Clearing and Risk business units in identifying and addressing inter-dependencies between different products, gaps from legacy systems and support organization's end-to-end clearing, settlement and risk management processes and controls.
MANAGER, MODEL BACKTESTING
OPTIONS CLEARING CORPORATION
10.2020 - 09.2021
- Managed a team of Quant analysts and developers responsible for building a model back-testing system for static and dynamic portfolios over historical time-periods.
- Led the team in building architectural framework for the system including but not limited to – data schemas, ETL, computational pipeline, prototyping and testing framework.
- Led model implementation of multi-factor regression, monte-carlo simulation of price returns, volatility surface simulation, option pricing and risk measures.
- Regularly communicated with senior management and cross-functional teams to provide weekly progress, risk and challenges
MANAGER, QUANTITATIVE RISK MANAGEMENT
OPTIONS CLEARING CORPORATION
01.2020 - 09.2020
- Led team of 6 for successful prototype implementation, gathering developmental evidence, back-testing and documentation of implied volatility and correlation model for SPX and VIX products.
- Reviewed business, model and functional requirements for development of a new risk platform.
- Actively contributed to identifying data and modeling issues in back-testing and production systems.
- Trained and on-boarded new hires to OCC's pricing and risk models, systems, policies and procedures.
SENIOR QUANTITATIVE ANALYST
OPTIONS CLEARING CORPORATION, OCC
01.2019 - 12.2019
- Contributed to the identification of deficiencies in the stress-testing and default fund methodology as well as introduction of model enhancements through calibration, data-analysis and testing.
- Led refactoring, testing and release of stress-testing library as part of the initiative to provide internal business users, Model Validation and IT with modular interfaces and enhanced testing at trade and portfolio levels. Supervised and trained Quantitative QA analysts in developing test plans and test cases for model validation and presenting results to the users.
- Implemented implied volatility risk models including sticky-strike, sticky-delta and sticky log-moneyness based models to shock implied volatility under regular and stressed conditions.
QUANTITATIVE ANALYST
OPTIONS CLEARING CORPORATION
01.2015 - 12.2018
- Calibrated model parameters and built model prototype for liquidation cost model, a risk-based model to calculate cost to OCC in closing out a defaulted clearing member's portfolio and recognized with Chairman's Award for contribution to all phases of project from inception to production go-live.
- Performed market data analysis and implemented various pricing and risk models.
- Created model documents, reports, presentations, and executive summaries for internal/external users and regulators.
- Collaborated with cross functional teams for model validation and testing functionality of OCC's risk systems.
QUANTITATIVE ASSOCIATE
OPTIONS CLEARING CORPORATION
04.2010 - 12.2014
- Performed model review through an independent implementation of an interest-rate model developed for margining portfolios with treasury securities.
- Developed detailed margin risk reports of clearing members and performed market research to explain change in risk to senior management.
- Implemented and tested pricing and margin models defects and enhancements as part of the production risk system.
- Provided nightly support in debugging and resolving production system issues related to data and models.
QUANTITATIVE ASSOCIATE
EQUITEC GROUP, LLC
09.2009 - 03.2010
- Built a program in C for data export into EXPO, an analytics tool used by implied volatility traders.
Education
MASTER'S IN MATHEMATICAL FINANCE -
ILLINOIS INSTITUTE OF TECHNOLOGY, STUART SCHOOL OF BUSINESS
Chicago05.2009
INTEGRATED BACHELOR AND MASTER OF TECHNOLOGY IN MATHEMATICS AND COMPUTING -
INDIAN INSTITUTE OF TECHNOLOGY DELHI
05.2007
Skills
- Business: CCP, Derivatives, Machine Learning, CVA, SIMM, FRTB, Basel
- Programming: JAVA, PYTHON, C, MATLAB, VBA, SQL, AWS
- Tools: Bloomberg, Tableau, Latex, JIRA, Confluence, MS Office
Certification
- MIT Professional Education, Applied Data Science: Leveraging AI for Effective Decision-Making (2024)
- Advanced Risk and Portfolio Management (ARPM) Certification, A 2-part exam and a python project on topics of Financial Engineering, Data Science and Quantitative Risk and Portfolio Management (2021)
- GARP, Financial Risk Manager (FRM) Certification, Scored 1st Quartile in Market, Credit, Operational & Integrated Risk (2019)
- London Financial Studies, Certificate of Completion, Bilateral Margin Requirements and SIMM : The Impact of Mandatory Margining and Central Clearing (2018)
Leadership Programs
- Bonfire Women, A 6-month talent development program for most promising women leaders at workplace (2020)
- Harvard Business School Online, A 4-week cohort-based course on Leadership Principles (2019)
Coaching Experience
Bonfire Women, Facilitated and led collaboration among a group of women spanning various industries and functions for their leadership course materials (2021-2022)
Timeline
DIRECTOR, FINANCIAL RISK MANAGEMENT
OPTIONS CLEARING CORPORATION
10.2021 - Current
MANAGER, MODEL BACKTESTING
OPTIONS CLEARING CORPORATION
10.2020 - 09.2021
MANAGER, QUANTITATIVE RISK MANAGEMENT
OPTIONS CLEARING CORPORATION
01.2020 - 09.2020
SENIOR QUANTITATIVE ANALYST
OPTIONS CLEARING CORPORATION, OCC
01.2019 - 12.2019
QUANTITATIVE ANALYST
OPTIONS CLEARING CORPORATION
01.2015 - 12.2018
QUANTITATIVE ASSOCIATE
OPTIONS CLEARING CORPORATION
04.2010 - 12.2014
QUANTITATIVE ASSOCIATE
EQUITEC GROUP, LLC
09.2009 - 03.2010
MASTER'S IN MATHEMATICAL FINANCE -
ILLINOIS INSTITUTE OF TECHNOLOGY, STUART SCHOOL OF BUSINESS
INTEGRATED BACHELOR AND MASTER OF TECHNOLOGY IN MATHEMATICS AND COMPUTING -
INDIAN INSTITUTE OF TECHNOLOGY DELHI
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