Apr 2025 – Sep 2025 · 5 mos · Riyadh, Saudi Arabia · On-site

• ● Led the end-to-end delivery of the ILAAP framework for a Saudi bank in line with SAMA requirements, streamlining regulatory ratios (LCR, NSFR etc.), Pillar 2 risk drivers, board/management limit setting, liquidity stress testing, and contingency funding planning, while coordinating with Finance, ALM, Internal Audit, and Validation teams.
• ● Managed Pillar 1 RWA and Capital computation for Market Risk and ALM, covering SA-CCR, Repo RWA (CRM technique), and Pillar 3 disclosures for quarterly regulatory compliance. Validated internal frameworks, streamlined processes, and led Liquidity Risk Stress Testing (Q2 2025) for Saudi based bank.

Sep 2023 – Apr 2025 · 1 yr 7 mos · Riyadh, Saudi Arabia · On-site

• ● Validated the ICAAP framework for a UAE-based bank, covering Pillar 1 (credit, market, operational risk) and Pillar 2 (liquidity, IRRBB, concentration, strategic risks). Assessed capital adequacy under baseline and stressed scenarios, governance, risk appetite alignment, and internal controls to ensure regulatory compliance with UAE Central Bank ICAAP guidelines.
• ● Led the end-to-end development of IFRS 9 ECL models (PD, LGD, EAD) including data preparation, default definition, segmentation, and SICR staging design, while establishing a robust governance framework for post-model validation, performance monitoring, overlays, and regulatory compliance (SAMA), in collaboration with Risk, Finance, and Audit stakeholders.
• ● Delivered regulatory-compliant Credit Risk and Counterparty Credit Risk solutions, including the validation of identity fraud and credit models using CAP, ROC, KS, Gini, Brier Score, Binomial, and HL tests.
• ● Built a Python-based SA-CCR EAD calculation tool for a Saudi bank, ensuring full alignment with SAMA requirements and enhancing efficiency and model accuracy.

Feb 2021 – Jul 2023 · 2 yrs 5 mos · Gurugram, Haryana, India

• Devised and executed a robust Potential Exposure (PE) backtesting methodology to evaluate counter party credit risk
• IMM(CCR-IMM) models in both OTC and Exchange-traded derivatives as a part of regulatory requirement(PRA/BAFIN).
• The scope of the process involved the development of a sample selection methodology, the automation of backtesting
• procedures for market factors, trades, and portfolios, and conducting comprehensive failure analysis.
• Contributed to the analysis of time series data for the quarterly calibration process, meticulously identifying and addressing
• irregularities such as outliers, missing data, and staleness to ensure data integrity and reliability.
• Offered valuable support for the periodic re-calibration of model parameters, conducting comprehensive quarterly calibration
• parameter monitoring analysis, and presenting findings to senior management. This analysis encompassed a thorough
• comparison of calibration model parameters by utilizing rigorous statistical tests such as Fischer’s Z test, F test, and Wald test.
• Implemented automated processes for generating quarterly backtesting reports, which were effectively presented to senior
• management and submitted to regulatory bodies including PRA and BaFin
• Engaged in the recalibration of revolving exposure at default models specifically designed for corporate credit risk customers,
• meticulously documenting the outcomes. The process encompassed calibrating the model output using the most up-to-date
• available data, including activities such as data extraction, data cleaning, exploratory data analysis, model fitting, and thorough
• output comparison. Rigorous testing of the model was conducted, with particular emphasis on relevant features such as Credit
• Conversion Factor (CCF), Loss Given Default (LGD), and Exposure at Default factor (EADF).

Aug 2019 – Feb 2021 · 1 yr 6 mos · Chennai, Tamil Nadu, India

• Responsible for Developing, Implementing and Testing of credit scoring models for different product types in Vehicle finance.
• Deeply involved in quantifying different measures of risk(s) involved in process lead procurement to loan disbursement through stress testing.
• Uses statistical modeling and exploratory data analysis to clean, handle and extract information from loan books.

Jul 2018 – Jul 2019 · 1 yr · Gurgaon, India

• Responsible for developing and implementing automation scripts to test index calculation engines for clients spread across europe.
• Involved in the product development team to develop a Quant Index for gold mining companies and used different statistical tools to achieve the end results.

Jan 2018 – Jun 2018 · 5 mos · Łódź, Łódzkie, Poland