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Aakash S S

@aakashss

Message

I build market-risk methodologies for FRTB, DRC, IRC, and RFET.

India

Message

I'm leading Quant Analytics for Market Risk at Barclays, developing HPE tools, FRTB IMA RFET/SES, B2.5 VaR, capital allocation, IRC, and DRC models.

Previously at Nomura, I owned DRC (SA and IMA) and RFET models, led FRTB QIS work, and developed tactical and strategic tools while managing model stakeholders.

At Credit Suisse, I led FRTB DRC QIS delivery across 470+ business desks, built methodologies in R, and automated processes to reduce time and human errors by 70–80%.

Experience

Work history, roles, and key accomplishments

Current

Vice President

Current

Barclays

Dec 2025 - Present (9 months)

Quant Analytics - Market Risk

- Leading a team of 2 working on HPE tool development and FRTB IMA RFET/SES
- B2.5 VaR and capital allocation models
- B2.5 IRC and FRTB DRC (SA/IMA)

Vice President

Nomura

Apr 2025 - Dec 2025 (8 months)

Risk Methodology Group - FRTB

- Leading a team of 2 focussing on FRTB QIS, DRC and RFET
- Ownership of DRC (SA&IMA) and RFET models with hands-on development and enhancement of tactical and strategic tools
- Management of stakeholders on aspects related to FRTB models

Python SQL Risk Management Market Risk Analysis Team Management Quantitative Risk Analysis

Assistant Vice President

Nomura

Mar 2023 - Mar 2025 (2 years)

Risk Methodology Group - FRTB

Methodology development, prototyping, analytics and strategic implementation testing for IMA DRC, SA DRC, RFET and NMRF capital optimization.

Quantitative Risk Analysis SQL Python

Assistant Vice President - Quant Risk Methodology

Credit Suisse

Jan 2021 - Mar 2023 (2 years 2 months)

IRC and FRTB DRC Methodology

- Leading end to end deliverables of FRTB DRC Quantitative Impact Study (QIS) for both SA and IMA models across 470+ business desks. Results and analysis are used for regulatory submission, business syndication, capital and hedge planning.
- Prototyping of FRTB SA and IMA DRC methodologies using R.
- SME in development and calibration of tenor based credit spread meth

Project Management Quantitative Risk Analysis R

Analyst - Quant Strats Risk Methodology

Credit Suisse

Apr 2016 - Dec 2020 (4 years 8 months)

IRC Methodology and FRTB DRC

- Analysis of capital charge buffer related to rating migration or default of issuers in the trading book.
- Risk capital scenario analysis and reporting for regulatory authorities (FINMA and PRA).
- Effectively collaborated with respective counterparts to ensure smooth process flow of activites.

Key Projects

1. FRTB DRC Quantitative Impact Study
－ Responsible for

Summer Intern

RBS

Apr 2015 - Jun 2015 (2 months)

Division : Risk Analytics and Models

Title of Project : Estimation of PD for Low Default Portfolio and Validation Techniques used for Basel models.

Overview : This project dealt with the types and process of model validation. It helped me understand the various statistical estimation techniques used to validate a PD model on the basis of discriminatory power, predictive accuracy and stability.