Summary
Overview
Work History
Education
Skills
Certification
Languages
Timeline
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Rajarshi DasGupta, FRM

Rajarshi DasGupta, FRM

Warsaw

Summary

Seasoned professional with over 12 years of cross-functional experience across risk management, business development. Starting 2022, specializing in risk modelling with expertise in model development and lifecycle management—covering revalidation, parameter calibration, implementation, addressing limitations, and applying overlays for credit and market risk. Extensive use of Python to drive model automation, validation, and testing. Prior experience includes designing distribution channel, managing trade partners, and generating revenue across different industries. Holds bachelor’s and master’s degrees in Computer Engineering, Business Management, and Quantitative Finance, FRM Certified and is currently pursuing a PhD in Finance (2025–2029).

Overview

14
14
years of professional experience
1
1
Certification

Work History

Senior Risk Analyst (AVP)

Citibank Europe PLC
01.2022 - Current
  • Supporting the end-to-end model development process for quantitative scorecard models, from data sourcing and variable transformation to model calibration and implementation
  • Managing model lifecycle by conducting annual model review, re-validation, and ongoing performance monitoring for wholesale credit risk-debt rating and scorecard models mostly based on regression-based approaches (such as Cox proportional hazards regression, logistic regression)
  • Addressing model limitations, validating assumptions, performing root cause analysis for threshold breaches, and providing analytical support to various stakeholders including Model Sponsor, Business and Model Risk Management
  • Automating model development and monitoring processes for market risk, credit risk, and scenario design using Python, including rigorous testing for all new code.
  • Supporting in internal audit process by providing all necessary evidences and explanations, ensuring strict adherence to model governance policies and regulatory standards
  • Previously Supported Enterprise Stress Testing by designed and implemented business-specific stress test (BSST) scenarios to identify portfolio vulnerabilities and align with the bank’s risk appetite and monitoring framework
  • Managed model lifecycle for Market Risk Models primarily based on Historical VaR and Monte Carlo simulation, as part of the annual model review process

Business Development Professional

Whirlpool, Bajaj Electricals, Bharati Airtel
02.2012 - 01.2021
  • Experience in optimizing distribution channels and driving revenue growth,managing trade partners and business operation across diverse industries such as Media, Telecommunication and Consumer Durable in India
  • Forecast SKU wise demand, revenue, future trends, and assess capital expenditure risks in the consumer durable industry
  • Proficient in manpower optimization, ROI analysis, market penetration via trade promotion, improving market hygiene and team mentoring

Education

Ph.D. - Quantitative Finance

Warsaw School of Economics (SGH)
Warsaw
01-2029

Master of Science - Quantitaive Finance

University of Warsaw
Warsaw
09.2023

Executive Post Graduate Diploma in Management -

Indian Institute of Management Rohtak
08.2020

Bachelor of Technology - Computer Science

West Bengal University of Technology
08.2009

Skills

  • Econometrics and Time Series Modeling
  • VaR, Stress Testing, Backtesting
  • Bootstrapping and MonteCarlo Simulation
  • Pricing Derivatives (Options, CDS, Swaps)
  • Python (Programming Language)
  • Machine Learning (K-Means Clustering, PCA, SVM, Decision Tree, Random Forest)
  • Microsoft Excel and VBA
  • Git
  • Economic forecasting
  • Stress testing
  • Python programming
  • Predictive modeling
  • Quantitative analysis

Certification

  • GARP FRM [2025]: A thorough understanding of various risk areas such as credit, market, operational, and liquidity risk, along with investment management and practical applications of risk models.
  • Python for Data Science[2020]- High level overview of data science and machine learning techniques using python
  • Six Sigma Green belt Certified [2018]: Process improvement techniques using lean principles and different types of statistical tool

Languages

English
Bengali

Timeline

Senior Risk Analyst (AVP)

Citibank Europe PLC
01.2022 - Current

Business Development Professional

Whirlpool, Bajaj Electricals, Bharati Airtel
02.2012 - 01.2021

Ph.D. - Quantitative Finance

Warsaw School of Economics (SGH)

Master of Science - Quantitaive Finance

University of Warsaw

Executive Post Graduate Diploma in Management -

Indian Institute of Management Rohtak

Bachelor of Technology - Computer Science

West Bengal University of Technology

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Rajarshi DasGupta, FRM