Myself Chandrakant Maheshwari. I am a risk practitioner working in the area of financial risk analytics. The content in this blog represents my perspective towards analytics of financial risk management.
More about me
I have now almost more than 10 years experience in Financial Risk Management. I did my education from IIT Delhi. I have a Master degree in Mathematics and Computing. It is a 5 years course. I have PRM certification from PRMIA.
Following are some of my selected works
- FRTB Compliance – Implementation Challenges
- Synopsis: Banks must adhere to the rules of the fundamental review of the trading book to avoid higher capital requirements. Passing the P&L attribution test is a critical component of FRTB compliance, but this test presents many obstacles.
- Link: http://www.garp.org/#!/risk-intelligence/culture-governance/compliance/a1Z40000003PBRnEAO/frtb-compliance-implementation-challenges
- Model Risk Management under the FRTB Regime
- Synopsis: By the end of December 2019, banks will be required to report their market risk capital allocation per the guidelines of the Fundamental Review of the Trading Book. What challenges will they face while balancing the management of their market risk models with FRTB compliance?
- Link: http://www.garp.org/#!/risk-intelligence/detail/a1Z40000003LViKEAW/model-risk-management-under-frtb-regime
- The Impact of Big Data in Market Risk Management
- Synopsis: In a data-rich society, measuring and managing market risk is a daunting task for financial services firms. What specific challenges do they face, and what techniques can they employ to collect and use larger, more complex data sets?
- Link: http://www.garp.org/#!/risk_intelligence_detail/a1Z40000002vI8FEAU
- Model Monitoring: How to Manage the Risks Not Captured in VaR
- Synopsis:Value at Risk, the favored risk measurement tool of financial institutions often leaves them exposed to unseen risks. BigData techniques combined with processes such as data analysis, stress testing and back testing, however, can be used to handle the risks that VaR misses.
- Link: http://www.garp.org/#!/risk_intelligence_detail/a1Z40000002vI4ZEAU
- Risk Not in VaR: A Perspective with Some Practical Examples
- Synopsis: Title explains all.
- Link: https://chandrakant721.wordpress.com/2014/12/19/risk-not-in-var-a-perspective-with-some-practical-examples/
- The Qualities of an Effective Model Validator
- Synopsis: Curiosity, discipline and persistence are among the attributes that a model validator needs to be successful.
- Link: http://www.garp.org/#!/risk_intelligence_detail/a1Z40000002wHPEEA2
- Management Challenges in Model Validation Exercise
- Synopsis: Team building and time budgeting are not the only difficult tasks that a validation leader must manage when assessing critical models.
- Link: http://www.garp.org/#!/risk_intelligence_detail/a1Z40000002wHPEE