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Shah Aaqib

I am a quant finance professional and have special interest in stochastic processes and their application in asset/option... | Canada

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Shah Aaqib’s Location Canada

Shah Aaqib’s Expertise I am a quant finance professional and have special interest in stochastic processes and their application in asset/option pricing; building risk models for regulatory/ economic capital calculations; and developing Risk and Governance frameworks. Also, an experienced model developer including supervisory stress test framework/models, AIRB, sVaR, IRRBB and option pricing, etc. Overall I have a decade long experience working in risk assessment, quantification and measurement at reputable supervisory agencies and a global commercial FI. ---------- Areas of Interests: - DSGE modeling (with upstream FinMarket frictions) - Stochastic vol models (e.g, Heston/SABR) - HJM models and IR derivative pricing - DeepSurv (Cox PH) for credit risk - Fast fourier transformation for option pricing - XGBoost Algo for Applied ML - Deep Neural Nets, LSTM and Unsupervised Learning.

Shah Aaqib’s Current Industry Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement

Shah Aaqib’s Prior Industry
Office Of The Superintendent Of Financial Institutions | Rbc | Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement

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Work Experience

Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement

Model Risk Governance and Oversight- Senior Specialist

Mon Nov 01 2021 00:00:00 GMT+0000 (Coordinated Universal Time) — Present

Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement

Model Governance- Senior Specialist

Sun Nov 01 2020 00:00:00 GMT+0000 (Coordinated Universal Time) — Mon Nov 01 2021 00:00:00 GMT+0000 (Coordinated Universal Time)

Rbc

Senior Manager

Sat Sep 01 2018 00:00:00 GMT+0000 (Coordinated Universal Time) — Thu Oct 01 2020 00:00:00 GMT+0000 (Coordinated Universal Time)

Office Of The Superintendent Of Financial Institutions

Senior Supervisor

Fri Jul 01 2016 00:00:00 GMT+0000 (Coordinated Universal Time) — Sat Sep 01 2018 00:00:00 GMT+0000 (Coordinated Universal Time)

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Languages

Shah Aaqib Email Addresses

sa****@cm****.gc Work Email

sa****@cm****.gc Personal Email

FAQ About Shah Aaqib

Shah Aaqib is located at
Canada

Shah Aaqib is a
I am a quant finance professional and have special interest in stochastic processes and their application in asset/option pricing; building risk models for regulatory/ economic capital calculations; and developing Risk and Governance frameworks. Also, an experienced model developer including supervisory stress test framework/models, AIRB, sVaR, IRRBB and option pricing, etc. Overall I have a decade long experience working in risk assessment, quantification and measurement at reputable supervisory agencies and a global commercial FI. ---------- Areas of Interests: - DSGE modeling (with upstream FinMarket frictions) - Stochastic vol models (e.g, Heston/SABR) - HJM models and IR derivative pricing - DeepSurv (Cox PH) for credit risk - Fast fourier transformation for option pricing - XGBoost Algo for Applied ML - Deep Neural Nets, LSTM and Unsupervised Learning. Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement

Shah Aaqib currently works in the
Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement

Shah Aaqib specializes in
I am a quant finance professional and have special interest in stochastic processes and their application in asset/option pricing; building risk models for regulatory/ economic capital calculations; and developing Risk and Governance frameworks. Also, an experienced model developer including supervisory stress test framework/models, AIRB, sVaR, IRRBB and option pricing, etc. Overall I have a decade long experience working in risk assessment, quantification and measurement at reputable supervisory agencies and a global commercial FI. ---------- Areas of Interests: - DSGE modeling (with upstream FinMarket frictions) - Stochastic vol models (e.g, Heston/SABR) - HJM models and IR derivative pricing - DeepSurv (Cox PH) for credit risk - Fast fourier transformation for option pricing - XGBoost Algo for Applied ML - Deep Neural Nets, LSTM and Unsupervised Learning.

Shah Aaqib speaks the following languages:
No languages available.

Shah Aaqib has prior experience in the following industries:
Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement , Rbc , Office Of The Superintendent Of Financial Institutions

Shah Aaqib has the following professional experience:
Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement , Canada Mortgage And Housing Corporation Societe Canadienne Dhypotheques Et De Logement , Rbc , Office Of The Superintendent Of Financial Institutions .