Rachit Talwar

Lead finance, model and methodology risk controls including Independent Price Verification (IPV) and Fair Value Leveling, leveraging high-volume, complex data analytics within the Debt Markets, Currencies & Treasury (hedging and liquidity provision) business units in Macquarie.

• Price testing of over 2000 inputs going in valuation models: Automation and standardisation of data from multiple price vendors whilst ensuring compatibility with internal systems. Proficient in using Dataiku, VBA Macros for automation, Bloomberg and Reuters for building models and extracting data.
• Managing model and methodology risk: my focus lies on FX volatility related risks, debt instruments valuation risk including Bonds, MBS, Credit Default Swaps & Euro CLO’s. This involves maintaining model inputs for options pricing, such as calibrating SLV parameters and delta skew models for over 40 currency pairs. Additionally, I enhance methodologies for proxy testing unobservable complex products like Credit default swaps (CDS) on illiquid reference entities, inflation linked bonds, exotic options with caps and floors etc.
• Performing Fair Value Hierarchy (FVH) leveling and assessing spread reserves: Conducting sensitivity and volume analyses to accurately classify financial instruments for Banks' Level 3 reporting via Fair Value Leveling procedures.
• Collaborate with Market Risk and Trading desks to address inquiries and ensure transparent communication on rates testing and sensitivity analysis. Serve as methodologies expert, offering insights on market trends and recommendations to support decision-making.

Role in the investment management team of Candour Alternative Income Fund as a co-Portfolio Manager.

• Managed accounts tied to both the Fund and Senior Structured Notes issued by the company. Total funds under management (FUM) for these accounts exceeded A$20 million.
• My responsibilities included reconciling trading account activity, stress-testing strategies and managing the trading book within compliance standards. Additionally, I maintained margin calculations and implemented effective risk management strategies to maximize profitability and minimize risk exposure.
• Specialized in volatility-related instruments like VIX Index and derivatives, with over three years’ experience in building and executing trading strategies around it.
• Developed and implemented sophisticated trading strategies incorporating options spread, swing trading, mean-reversion, and pair trading mechanisms.
• Conducted comprehensive market analysis leveraging deep insights into macroeconomic factors and geopolitical events to identify high-impact trading opportunities.