Professional Experience

Goldman SachsBengaluru, India

Associate, Marquee Portfolio AnalyticsFeb 2021 - Feb 2022

Built Carbon Analytics tool to estimate carbon emissions and intensity profile of portfolios using RESTful web services in python and modeled scalable datasets for vendor data from Bloomberg and Factset
Integrated the carbon API in gsquant library, an open source python toolkit for quantitative finance developed by GS
Implemented MCTR, active risk comparison with respect to benchmark in factor risk, attribution analytics and optimized compute for historical portfolios by efficiently batching requests based on memory consumed for each Factor Risk Model
Through risk as a service along with BARRA and WOLFE risk factor model data, the Risk Analytics tool is currently generating revenue of $505K/year (as of Feb2022) from four clients, with more potential clients trialling the product
Created a procmon job to optimize compute and memory on Thematic Analytics for Marquee Portfolios and Assets, which publishes Thematic Factor Betas for composites such as ETFs, Indices, and Baskets utilising single stock betas on daily basis
Came up with SLOs by defining SLIs such as availability, latency, correctness that measure reliability of the service
Worked with an intern in developing a monitoring job as part of the offering to premium clients, deployed on Kubernetes which monitors the factor risk and performance analytics reports of their portfolios and sends out PagerDuty Alerts
Added a turnover constraint in the hedging tool for users to limit the turnover of existing hedges and baskets

Analyst, Market Risk StratsJun 2018 - Feb 2021

Developed an enhanced risk engine, through GSRisk initiative to converge on a unified risk engine across divisions, leveraging Griffin and Market Data API, which enabled expressing scenarios on-the-fly and declaratively
Saved initial compute of ~$5MM/year reducing ~0.5MM peak CPU hours every day by migrating Topsheet models to GSRisk and ~$3MM/year for IR models to MDAPI with potential savings of ~$20MM/year for other Market Risk models
Developed risk models for Commodities through Sensitivity Based Approach as part of Fundamental Review of the Trading Book (FRTB) and Interest Rate Stress Test models for Comprehensive Capital Analysis and Review (CCAR) and Firm Data Submission Framework (FDSF) submissions
Enhanced pricing models by onboarding basis nodes on the price graph to MDAPI for Real Estate Discount Spreads, Hazard Rate Volatility and Funding Spreads in collaboration with Merchant Banking, Credit and Equity Derivative desk strats
Developed a new asset data model for sourcing Market Risk curated EOD timeseries with improved SLA, data quality and the ability to provide market risk data as a service to clients via the Marquee platform
Developed a recalibration model for LMM and MEE window parameters under IR Scenarios for Bermudan Swaptions
Mentored interns, junior analysts in resolving findings raised on models and also actively involved in hiring new employees
Awarded the highest performance rating conferred on top-quartile performers globally and promoted to Associate

Summer Intern, Market Risk StratsMay 2017 - Jul 2017

Optimized convergence steps of EM Algorithm in finding the maximum likelihood of Gaussian Mixtures for backfilling
Developed a framework for maintaining domain knowledge of backfilled data in the stress period by pseudofilling
Received a Pre-Placement Offer in Market Risk Strats Team as a full time Analyst

Web DeveloperMay 2016 - Jul 2016

Worked as a developer for the customization technology that enables to place, resize, change laminates and other important features of cabinets of different units using Three.js in real time for the 3D modelling of the elements
Worked on automation of the interiors of a kitchen for the rooms given by the customer
Implemented a constraint system to express the constraints of the units and a solver to solve the constraint system which automates the design into the user specific rooms

Web DeveloperDec 2015

Designed an Android application for the marketing purpose on displaying and comparing the Mutual Funds data of the funds, benchmark and the company equivalent using MP Android Chart Library
Used Retro Fit library to get the data from Database
Used Line Charts and Bar Charts in the library to display the data
Implemented multiple features like changing the value and position of the origin, selecting and deselecting graphs, highlighting the necessary part of the graph, change values from percentage to amount