About

Rakesh Thonukunoori is an experienced xVA Risk Manager at ANZ with over 8 years of experience in the banking and finance industry. He has a strong background in quantitative finance, having completed two Master's degrees in the field from Cass Business School and Singapore Management University, respectively. Rakesh also holds a Bachelor's degree in Electrical and Electronics Engineering from BITS Pilani. In his current role at ANZ, Rakesh is responsible for managing xVA risk, which involves assessing and managing the counterparty credit risk, funding risk, and collateral risk associated with derivative transactions. He has also previously worked at ANZ as a Model Validation Quant, where he implemented curve building and various linear and non-linear IR products pricing in a multi-curve framework as a benchmark model to validate front desk curve methodology. Additionally, Rakesh implemented a local volatility surface for the valuation of FX single and double barrier options using Heston Stochastic Volatility model. He created a tool to check if all the live deals adhere to the models and products conditions/restrictions suggested by the model validation team to Front Desk. He also has an understanding and trial implementation of Vanna-Volga, HJM 1F & 2F models for future valuations. Prior to ANZ, Rakesh worked at UBS as a Quantitative Analyst, where he designed a tool to automate the regression analysis of various IR, FX & Commodity products to ensure the accurate pricing implementation in the internal valuation software. He implemented trinomial tree models to capture the volatility smile of FX Options to price vanilla and barrier options. Rakesh also developed Macros (VBA) to identify the discrepancies between various internal systems, which are a part of the investment cycle. Rakesh's educational qualifications and professional experience have equipped him with a strong understanding of quantitative finance, risk management, and investment analysis. He is also skilled in programming languages like VBA, Python, and R. With his expertise in the field, Rakesh is a valuable asset to any organization seeking to mitigate risk and optimize investment returns.