A seasoned risk management consultant with expertise in credit risk modelling. Extensive experience in using state of the art statistical and econometric techniques in credit and market risk contexts. Capable of working effectively on own initiative and proven in achieving set targets, deadlines and objectives. Proven track record of delivery within risk and regulatory change initiatives. Expert in financial regulations.
Significant expertise in handling critical responsibilities in various credit risk domains e.g. Basel II/III PD LGD EAD modeling, stress testing, economic capital calculation, portfolio management, risk appetite, loss forecasting and gap analysis. Excellent knowledge of various mathematical, statistical, econometric and machine learning models. Holds a Masters & Bachelors in Statistics from Indian Statistical Institute, Kolkata. Fellow of the Royal Statistical Society in London.
Specialties: 1.Quantitative Risk Management: Credit Risk - PIT/TTC PD, LGD , EAD Modelling, Stress Testing, Market Risk, Operational Risk, Economic Capital Modelling, Multi-factor Models, Risk based pricing RAROC, Interest Rate Modelling 2. Statistical Techniques: Linear/Logistic Regression, Statistical Inference, Time Series (ARMA, ARIMAX, GARCH, VAR, VECM), Stochastic Processes, MCMC, Econometric Modelling, Panel Data Modelling, GLM, GAM, Penalized-EM Algorithms, Survival Models, Hurdle Models, Probabilistic Models, Copula, Machine Learning, SVM, Random Forest 3. Banking Regulation: CRD IV, Basel II/III, CCAR/DFAST, PRA SS 11/13, Fed SR 11-07, BIS WP-14, IFRS 9