VP, Modeling/ Analysis/ Validation Officer
Citi
- Stress testing across LATAM, APAC, and MEA for Traded Market Risk portfolios using hybrid and scaled VaR models.
- Developed Gen AI solutions to automate model-related workflows, analysis, and reporting.
mhaidra@qantify:~
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Core Pillars
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dS = rSdt + σSdW
L = -Σ y·log(p)
CORE
Quantitative Finance & Risk
Quant with experience in modeling and validation of complex derivatives pricing, market risk frameworks, and stress-testing models. Expert in stress testing and capital adequacy benchmarks.
Cross-Domain Connections:
Modelling and ValidationDerivatives, VaR and PPNR models
Stress Testing (CCAR/ICAAP)Modeling and validating Economic Capital models and PPNR forecasting models to ensure legal entities remain resilient under severe macroeconomic shock scenarios.
Model GovernanceFormulating rigorous critiques of limitations, model assumptions, and parameter sensitivities for global regulators.
Experience
Senior Model Risk Specialist (VP)
BNY
- Led end-to-end model validation for a portfolio of ~30 complex models across global domains, focusing on forecasting (PPNR) models for CCAR frameworks and Economic Capital models for ICAAP.
- Designed and executed quantitative testing: comprehensive methodology assessments, statistical benchmarking, sensitivity analysis, and outcome reasonableness checks.
- Participated directly in Federal Reserve Board (FRB) examination meetings and executive capital/stress oversight forums, presenting model logic and remediation plans.
- Guided, mentored, and upskilled a team of three reviewers across multiple complex workstreams.
Model Risk Specialist (VP)
BNY
- Validated pricing models for complex, multi-asset products including Interest Rate, Foreign Exchange, and Credit (IR/FX/Credit) derivatives, CMS, equity, and CCY swaps, swaptions, caps/floors, inflation swaps, FX swaps/forwards, CDS/CDX, and FRAs.
- Assessed high-frequency model performance utilizing historical stress testing, dynamic scenario analysis, and backtesting diagnostics.
- Reviewed forecasting and liquidity models for CCAR, evaluating structural robustness under adverse macroeconomic scenarios.
- Evaluated climate risk models for corporate and insurance portfolios, challenging assumptions and data limitations.
- Supported London Interbank Offered Rate (LIBOR) transition workstreams, executing model change impact analysis.
- Implemented an automated multi-instrument pricing engine in Python (QuantLib) to benchmark desk/vendor pricing, reducing validation cycle times by ~20-30%.
Model Risk Specialist
BNY
- Reviewed and validated global curve models by analyzing mathematical modeling frameworks, implementation methodologies, and underlying statistical assumptions.
Ph.D. Visiting (Particle Physics)
University of Bristol
- Conducted advanced Monte Carlo simulations and predictive statistical analysis on massive experimental datasets.
- Strengthened lifelong skills in formal logical reasoning, rigorous hypothesis testing, and explaining highly complex technical models with extreme precision.
Research Assistant
Warsaw University of Technology
- Supported top-tier academic research involving quantitative modeling methods, heavy computational analysis, and detailed technical reporting.
Recent Projects
Quant FinanceJan 2026
Designing-Market-Shock-Scenarios
Re-implementation of macroeconomic and asset-pricing stress tests (CCAR/ICAAP benchmarks), pricing portfolio losses under extreme shock scenarios.
Stress TestingCCAR/ICAAPMarket Risk
Publications
📰 Progress in Nuclear Energy
Vol. 186, Art. 105803•Citations: 1•2025
Progress in Nuclear Energy
Vol. 186, Art. 105803 (2025)
3D imaging of gas bubbles in nuclear waste containers via Muon Scattering Tomography
M. Mhaidra, A. Alrheli, D. Barker...
Abstract:
This study presents a non-destructive method for detecting and sizing gas bubbles in radioactive waste containers. We utilize cosmic muon scattering tomography (MST) to reconstruct 3D voxelized density profiles. Computational results validate that the proposed algorithms can resolve bubbles as small as 5cm in diameter within concrete matrices, mitigating gas accumulation risks.
PDF
3D imaging of gas bubbles in nuclear waste containers via Muon Scattering Tomography
Authors: M. Mhaidra, A. Alrheli, D. Barker, C. De Sio, D. Kikoła, A. Kopp, P. Stowell, et al.
Education
Ph.D. in Applied Nuclear Physics
Warsaw University of Technology
M.S. in Particle Physics
University of Cagliari
B.S. in Physics
University of Mohammed V
Expertise & Skills
Quantitative Expertise
Risk Modelling
DerivativesMarket RiskCredit RiskCounterparty Credit Risk
Stress Testing & Regulatory
Framework reviewsScenario adequacyCCARICAAPFit-for-purpose assessmentModel overlays
Model Governance
Effective challengeAssumption reviewSensitivity testingBenchmarkingDocumentationMonitoring
Technical Stack
Data Science & Modeling
PythonRC & C++QuantLibPandasNumPyScikit-learnSQLMatlabTime-series Forecasting
AI, Automation & Data Engineering
LLM API IntegrationGenAI WorkflowsAPI IntegrationData ScrapingNetworkingGit
Infrastructure & Methodologies
DockerLinux/BashCloud Readiness