? Engaged in a project for a Bank with respect to derivative models including OIS discounting and interest rate and fx models.
? Provided latest trend information with respect to CVA/DVA/FVA methodologies covering stochastic process of underlying assets and estimation of probability of defaults.
? Engaged in an audit project playing a lead role in valuation of financial products area in a Japanese Mega Bank as well as a global investment bank. Established audit strategy and procedures and lead a team to perform control testing and valuation testing. Reviewed internal control processes of risk management including model verification and model input verification. Covered valuation adjustmen...
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