Chandra Khandrika
Chandra Khandrika is an Audit Director - Model risk management at Citigroup. He is responsible for providing assurance to Audit committee on model risk management activities across the firm including CCAR and ICAAP stress testing programs. Prior to this he worked in the valuations and risk functions with experience in building Quantitative analytics using Excel, Python, Matlab, R, Numerix and Quantlib libraries, AI/Machine Learning technologies, Crypto and Block chain technologies Enthusiast. He has obtained masters in Computational finance from Oregon graduate institute and masters in Chemical engineering from Indian Institute of Mumbai.
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Articles by Chandra Khandrika
Credit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.