ANUPAM K.

MITRA

ACADEMIC BACKGROUND:

Indian Institute of Management, Calcutta (India), 2019

ADVANCED PROGRAM IN FINTECH & FINANCIAL BLOCKCHAIN

Certificate in Quantitative Finance (CQF), 2017

Indian Institute of Management, Lucknow (India)

POST GRADUATE DIPLOMA IN MANAGEMENT, FINANCE (2004 BATCH)

Birla Institute of Technology, Mesra (India)

BACHELOR OF ENGINEERING, MECHANICAL ENGINEERING (2000 BATCH)

EXPERIENCE:

QUANTROPY RESEARCH & SOLUTIONS

QUANTITATIVE RESEARCH, SOLUTIONS FOR RISK MGT.,TRADING,ALGORITHMIC TRADING
Vice President (April 2023 onwards)

LYMPHOMAP, ARTIFICIAL INTELLIGENCE, MED-TECH Senior Board Advisor (April 2023

onwards)

THE CLEARING CORPORATION OF INDIA LTD. (CCIL) Derivatives, Trade

Repository, Electronic Trading Platform, LEIL, Economics Research (2013-April 2023)

AXIS Bank, Treasury (Mumbai), PROPRIETARY DERIVATIVES, OPTION TRADING,

MARKET STRATEGY, CREDIT DERIVATIVES & INSTITUTIONAL BUSINESS (2004-2013)

TATA MOTORS, ENGINEER (2000-2001)

INTERNATIONAL/NATIONAL PAPERS/PRESENTATIONS/REPRESENTATIONS:

• Member, RBI Working Group "Introduction of Interest Rate Options in India", 2016
• Authored Research/Technical Papers: “India: A Swaption Pricing Model” ,”One Factor
Interest Rate Models: India”
• Guest/Speaker on Subjects related to Asset and Derivatives Market and it's development in
India: IIM Bangalore (2019); MDI Gurgaon (2007); IGIDR Mumbai (2006); RBI Staff College Chennai
(2017); NIBM Pune (2016); CAB Pune (2012); Institute of Actuaries of India (2019); FIMMDA (2013);
FIMMDA (2016); SBI Global Markets(2018); Economic Times(2004); UTIICM(subsequently IICM &
now NiSM) (2003):
• Institute of Actuaries of India, a talk on "Systemic Risk Reduction in Counterparty
Credit Risk in OTC Derivatives Contracts: A Case Study" at The 6th Seminar on Enterprise
Risk Management,2019.
• Panelist in the Panel Discussion -"Future of Structuring in India" at The
4'"Annual Conference of The Asia Pacific Association of Derivatives 2007, MDI Gurgaon,
Delhi.

• Paper "Greeks based Risk Management of Currency Option Portfolio" presented at

8th Annual Conference on Money and Finance in the Indian Economy 2006, IGIDR-Mumbai.
 • “Interim Budget Analysis '2004” Published in The Economic Times.
• “Valuation of Banks" presented at *UTI Institute of Capital Markets Conference 2003, Mumbai (now
rechristened as *NiSM International Capital Markets Conference).
• Co-authored "Predicting Index Returns from Market Sentiment" presented *UTI Institute of
Capital Markets Conference 2003, Mumbai (now rechristened as *NiSM International Capital
Markets Conference).
• Published in Mudra 2004, IIM Lucknow Finance Journal: "Hedge Using Gold? A Cointegration Study
between S& P 500 and LME Gold"

PROFESSIONAL MILESTONES @ QUANTROPY RESEARCH & SOLUTIONS(April 2023 onwards)

• Launch of complete array of Stochastic Asset Pricing Models for all Asset Classes-
FX, Equity & Rates including Sovereign Bonds, CDS and Corporate Bonds.
• Pricing of all permitted onshore Derivative Transactions in OTC and Exchange space
including exotic derivative/structures.

• Stochastic FX/Interest Rate/Equity/Bond Models - Derivation of closed form

solution for forward rates and option prices with deterministic functional volatility &
comparing with existing models that assume stochastic volatility.

• Bespoke Consulting for Algo Trading firms and Fund Houses on Capital
Allocation and Market related issues.

PROFESSIONAL MILESTONES @CCIL(July 2013-April 2023)

• Successful launch of product basket of Derivatives Settlement, Trading Platform

, Trade Reporting for OTC Derivatives in India.
• Successful launch of Guaranteed Clearing in INR IRS in March 2014 and INR IRS Trading
Platform (ASTROID-Anonymous System for Trading in Rupee OTC Interest Rate Derivatives)
in August 2015.
-Starting from NIL(0%) in 2013, CCIL’s market share zoomed up at 80% of the
OTC derivativesmarket by 2020( in 7 years).

-From 0% in 2015 trades on ASTROID today garner a market share of almost 80% of the
Interbank Rupee Interest Rate Swap derivatives market by 2020(in 7 years).
• Enabling regulators for tracking and measuring systemic risk including updated
financial network information and fraud/analytics.

• Establishment of a new entity "Legal Entity Identifier of India ltd."(LEIL),a Wholly

Owned Subsidiary (WoS) of CCIL that is an RBI Regulated Institution.

• LEIL is globally the first Local Operating Unit (LOU) to obtain operational approvals from
global authorities known as Accreditation in 2015.

-LEIL consistently ranks as the LOU with one of the best data quality ratings globally & is
consulted by global regulators including the RBI and SEBI for any developments relatedto LEI
 PROFESSIONAL MILESTONES

@AXISBANK (2004-2013)

• Developed from scratch and managed FCY-INR Currency Option book for Proprietary trading
as well as to support Corporate and Interbank flow
• Development of derivative trading instruments: LTFX/CCS/COS/POS trading/hedging
books for managing customer flows and proprietary trading.
• Established the Bank's first Credit Derivatives trading desk from scratch.
• Established and managed one of the very first Interbank derivative Institutional Sales
Team by an IndianPrivate Sector Bank
• Established and managed Asian Credit/Euro$ Bond and US Treasury bond trading desk
running out of Singapore & HK Branches and co-ordinated by Head Office/India.

• Exchange Traded USD INR Currency Options as per RBI/SEBI regulations

launched on the very first day amidst high turnover and profitability.

WORK EXPERIENCE QUANTROPY RESEARCH & SOLUTIONS,

Vice President(2023 onwards)
• Launch of complete array of Stochastic Asset Pricing Models for all Asset Classes-
FX, Equity and Rates including Sovereign Bonds, CDS & Corporate Bonds
• Pricing, Risk Management, CVA of all permitted onshore Derivative Transactions in
OTC and Exchange space including exotic derivative/structures.

• Stochastic FX/Interest Rate /Equity/Bond Models - Derivation of closed form

solution for forward rates and option prices with deterministic functional volatility &
comparing with existing models that assume stochastic volatility.

• Bespoke Consulting for Algo Trading firms and Fund Houses on Capital
Allocation and Market related issues.

• Working on publishing Credit Indices and Rates Volatility Indices for Indian
Markets.

WORK EXPERIENCE LYMPHOMAP, Sr. Board Advisor (2023 onwards)

• Financial and Capital Market advisor

• Capital Raising: Pitches/networking with VCs

• Artificial Intelligence Modelling: Working with AI Team to finetune diagnostic

AImodels.

WORK EXPERIENCE CCIL, DVP (2013- 2023)

Strategy, Product Development- Derivatives, Legal Entity Identification and Grouping to
identify Systemic Risk

• Guaranteed Settlement of all Standardized OTC derivative products

• Extension of ASTROID to Institutional entities (MFs /Insurance Cos./FPls)

• API for trading on ASTROID Introducing API for Algorithmic Trading, as per
Regulatory norms New Product development and Enhancements/Improvements to IRS
Trading Platform PV01 Neutral Trading

• Clearing Member Structure- Addition of constituents

 • Legal Entity Identifier- later developed into a WoS of CCIL- LEIL

• Analytics & Market Surveillance

• Rate Scan

• Misreporting/detecting/rectification of Operational errors in

transaction reporting by members using Advanced
Forensics/Fraud Analytics

• Network structure concentration risk and stability Analysis with Banks/PDs as nodes and
other related developments.

• Implementation of Nasdaq Market Surveillance System in Electronic

Trading Platforms including ASTROID.

Economics Research, DVP (April 2022-April 2023)

• Stochastic Interest Rate Models
Estimation of Model parameters with non-parametric methods Swaption
pricing Model for India

• Option Pricing and Implied Volatility Models

Calibrating Implied Volatility (IV) Smile Curve

• Derivation of closed form solution for option prices with deterministic functional
volatility & comparing with existing models with stochastic volatility

• Benchmarking exercise with actual traded data in Onshore OTC Interbank FX

USD/INR FX Options market vs. polled FBIL IV publication.

WORK EXPERIENCE AXIS BANK, AVP PROPRIETARY OPTION TRADING (2004-2011)

• Trading: Managing Option portfolio

• Analyzing Gamma concentration report, Strike concentration

report, practical Vega bucket positioning report, Spot/Forward
Sensitivity report etc.) for risk aggregation and effective
trading and hedging positions.

• Higher order Greeks management- Risk Reversal and

Strangle positions hedging Vanna and Volga respectively.

• DESIGNING, DEVELOPING AND IMPLEMENTING QUANTITATIVE MODELS AND TOOLS FOR STRATEGIC
AND TACTICAL ASSET ALLOCATION AND RISK ALLOCATION (2008-2012)

• Arbitrage Trading: Have developed real-time trading systems

for arbitraging Currencies and Interest rates in G7 currencies
and rates.

• Trading USD Rates-US Treasuries(3yr,5yr,10yr Active

Paper), USD Interest rate swaps

• Trading in G7 Currencies.

• Trading Asian Credit/Eurodollar Bonds (lssued by Indian

Entities)
CREDIT DERIVATIVES (2011-2013)
Established the Bank's first Credit Derivatives trading desk from scratch.

• Knowledge of Mathematical techniques such as solving Partial Differential

Equations (PDE) and using Econometric/Statistical tools like SHAZAM,
SPSS; & productionizing models using Python/VBA/Excel; comprehensive
usage of Bloomberg/Reuters.
•Built Models to determine CDS spreads of Indian corporates- Merton KMV Model,
Probability of Default and LGD. Where Equity listing unavailable/illiquid, building
closed form PDE models for CDS spreads of unlisted Companies.

Contact details: Anupam K Mitra, anupamkmitra@gmail.com,9819766114