Kumar Shantanu
I am a design-loving nerd, navigating the intersection of technology, mathematics and art, on this wild ride of figuring out ways to do something meaningful.
Econometrics and Time-Series Analysis are my craft and thus I hunt patterns and weave stories with data for a living. I speak Hindi and English to humans, while Python and Javascript to computers. I also authored a Python library that facilitates comparison and testing of dataframes. I am currently learning deep learning, financial engineering and to speak Polish and Rust. In my free time, I develop statistical/econometric models for credit loss forecasting at Union Bank of Switzerland (UBS).
A tougher problem I am solving
Building an automated trading system through implementing Financial Machine Learning.
The toughest problem I have solved
Built a Python library that tests, compares and analyses the difference between two dataframes. Documentation is available at: Compare Datasets
Here, I share my meditations on the things that intrigue, amuse, or enlighten me. I usually write about computer programming, quantitative finance, some random life experiences or anythingthat captivates my curiosity. You can also find me on Medium and LinkedIn blogs.
I work as a quantitative analyst for US Mortgages regulatory models. My core responsibilities include developing and maintaining the model mainly for IFRS-9/CECL reporting and stress testing frameworks, as well as providing support to the business.
I led the development of the validation and the reporting framework for Climate related model risk. The core responsibilities involved the validation of high risk models used for CCAR reporting for 2022 CCAR cycle. I also self-undertook the initiative of automation of internal workflow tracking and management by creating a dedicated Python library for the task. I also volunteered for non-BAU activities and worked with the highest levels Citi MRM Leadership.
My academic Majors is Macroeconomics and Minors is in Econometrics. My masters thesis is on 'Cross-sectional convergence of Nightlights in India.' I was also the member of Placement Cell, IGIDR.
I was also the member of Placement Cell, Kirorimal College and also participated and lead several extra-co-curricular activities in the college
