From Open Risk Manual

Experience and Interests

  • Abhishek is a part of the Enterprise Risk Services team at Moody's Analytics, with expertise in Credit Risk Management. He is involved in development, validation, and calibration of Basel II/III PD, LGD & EAD and stress testing models for wholesale portfolios of Banking clients across several geographies viz. US, UK, rest of the Europe, Middle East, and Australia.
  • He has over 4 years of work experience, and currently is Associate Vice President at Moody’s Analytics Knowledge Services. Abhishek possesses excellent knowledge of various mathematical, statistical, econometric and machine learning models. He has been a part of several high impact quantitative finance projects involving various advanced statistical techniques.
  • He has developed various bank models, enhanced methodologies and risk frameworks. He has handled responsibilities in credit risk domains e.g. Basel II/III modeling, stress testing, economic capital analyses, portfolio management, risk appetite, loss forecasting and gap analysis.
  • He also has exposure to market risk management, including but not limited to, the Libor Market Model calibration, in the final goal of pricing Bermudan Swaptions. Through complex high end model developments he has enriched his experience in single obligor PD, LGD and EAD modelling, portfolio / economic capital modelling, and stress testing for distinct asset classes and portfolios, including Sovereign and Commercial Real Estate.