Feb 2023 – May 2024 · 1 yr 3 mos · Gurugram, Haryana, India · Hybrid

• Led Climate Risk Consulting Service Engagement for a UK-based bank, defining and aligning climate risk models and tools (e.g., Financed Emissions models, Climate Risk Scorecard, Physical and Transition Risk and Internal Carbon Pricing Model) with the bank's strategic climate targets.
• Conducted comprehensive testing and impact analysis of climate risk models, ensuring adherence to defined strategies and mitigating potential risks.
• Reviewed and enhanced climate risk rating models, proposing sector-specific updates for Commercial Real Estate (CRE) and Manufacturing, tailored for large and mid-corporate clients.
• Developed a sustainability-linked loans framework using blockchain technology, with KPIs directly linked to interest rates based on performance against SDG13 targets.
• Published a whitepaper detailing climate risk methodologies, highlighting their role in informed decision-making and comprehensive risk management.
• Contributed to the Risk Management section of the client's Annual Climate-related Disclosure Report.
• Created persuasive business proposals, securing new clients and expanding PwC India's service offerings in climate risk and stress testing.
• Developed Points of View (POVs) for various client circulations to enhance Model Risk Management practices, incorporating SR 11-7 and CBUAE guidelines.
• Actively contributed to team development by hiring top talent, mentoring team members, and driving a high-performance work environment.

Jan 2021 – Mar 2023 · 2 yrs 2 mos · Gurugram, Haryana, India · Remote

• Successfully manage project execution and maintain strong relationships with key stakeholders at the largest US bank and a prominent Indian public sector bank, focusing on credit risk quant solutions.
• Actively contribute to thought leadership by writing articles, preparing RFPs (Request for Proposals), and cross-selling Financial Services Risk Management (FSRM) offerings.
• Validated Credit Risk Rating models developed by Fitch Ratings for a leading Housing re-finance Bank of India, including incorporating ESG calculation into their credit rating model system.
• Led the model validation of a leading bank for their UK Mortgage and Credit Cards Revenue and Expense projections for PRA Stress Testing submission and Annual Operating Planning (AOP) process.
• Ensured the accuracy and reliability of the ICAAP model for Strategic Risk calculation, utilizing VaR methodology for a leading bank for their Germany business.
• Conducted validation of various internal models, including credit line increase strategy models for credit cards and marketing models for a leading US bank.
• Validated CCAR loss estimation and PPNR models for the Private Bank (PB) Mortgage Portfolio and wholesale CCAR models for IPCRE and L&C segments of the CRE portfolio.
• Evaluated LTV (Loan-to-Value) and DSCR (Debt Service Coverage Ratio) CRE Feeder Models for the CCAR stress testing exercise of HSBC's CRE portfolio.
• Assessed and recalibrated CCAR loss estimation models to incorporate the impact of COVID-19 and emerging risks on the portfolio.
• Worked on the model validation of PD (Probability of Default), EAD (Exposure at Default), and LGD (Loss Given Default) models for HSBC US Retail Private Banking, including building an alternate model for stress submission loss estimation.
• Performed an independent review of loss models for different lines of business for a leading Middle East Bank.

Mar 2020 – Jan 2021 · 10 mos · Bangalore Urban, Karnataka, India · On-site

• Led the establishment and management of a 6-member team responsible for conducting qualitative model validations, including independent reviews, validation report writing, and model approval, as part of the Qualitative Model Validation function in Bangalore.
• Collaborated closely with model users, developers, and model governance teams to effectively manage model risk within the organization and facilitate the model approval process.
• Designed and implemented a robust validation process for qualitative models, ensuring comprehensive evaluation of all relevant components, identification of areas of weakness, and proactive collaboration with key stakeholders such as model owners to drive risk-appropriate remediation and timely delivery.

Aug 2017 – Mar 2020 · 2 yrs 7 mos · Noida

• Conducted rigorous independent model validation of CCAR-PPNR, Wholesale and Retail Credit risk models, as well as Operation risk (Tier 1, 2 & 3) models.
• Collaborated closely with the model development team to establish project scope, discuss initial issues, define validation timelines, and determine expected final deliverables.
• Employed a critical eye to thoroughly review and assess the risks and limitations of the models, proactively identifying areas for improvement and developing comprehensive remediation plans.
• Produced detailed validation reports that clearly communicated validation results, observations, and challenges encountered throughout the process. Delivered final validation decisions to the model development team.

Apr 2016 – Aug 2017 · 1 yr 4 mos · Mumbai Area, India · On-site

• Conduct independent model review and validation of critical models utilized for stress testing, internal projections, and CCAR scenarios across the bank.
• Develop alternative models by incorporating a diverse set of independent variables, enhancing model accuracy and predictive capabilities.
• Prepare comprehensive validation reports outlining the analysis and results conducted during the validation process, ensuring clear documentation of findings and recommendations.

Nov 2014 – Apr 2016 · 1 yr 5 mos · Bangalore · On-site

• Developed predictive models using GLM Poisson and Gamma distribution for various perils (such as fire, theft, wind & hail, and water-related incidents) in the insurance industry. These models facilitated more effective pricing of homeowner insurance policies for an insurance company.
• Conducted comprehensive validation of 16 time series Models of Income statement and Balance sheet items for a leading US Bank, ensuring compliance with CCAR regulations for the PPNR Modelling exercise.
• Performed meticulous data validation, ensuring conceptual and technical soundness of the models.
• Executed sensitivity and stress testing, along with other validation steps, to produce detailed validation reports for each model.
• Validated IBNR (Incurred But Not Reported) calculations for multiple non-life insurance companies in the US.
• Contributed to the development of various business proposals, including loyalty program analytics, analytics offerings for life insurance companies, premium calculators, and industry forecasts for different lines of business within the US and Indian markets.

Mar 2013 – Nov 2014 · 1 yr 8 mos · Mumbai · On-site

• Utilized logistic regression modelling to prepare the Up-sell model for a telecom company, enabling them to effectively sell additional higher value plans to their existing customers.
• Employed linear regression techniques to analyse sales data for an automobile dealer, identifying the most significant variables influencing company sales. Developed an interactive information tool to support effective marketing strategies.
• Developed a predictive model using logistic regression to calculate the propensity of customers to purchase car and house insurance for a leading Norwegian bank.
• Analysed spending data for various projects at Capgemini Consulting, Norway, utilizing cross-tabulation and descriptive analysis techniques. Delivered executive summaries to C-level executives to support decision-making.
• Prepared detailed documents and conducted analysis to assess the effectiveness of different marketing campaigns.
• Designed and administered surveys to assess the digital maturity of various European companies. Provided executive summaries to stakeholders, highlighting key findings and recommendations.

Apr 2011 – Mar 2013 · 1 yr 11 mos · Bangalore and Noida · On-site

• Independently responsible for conducting pension valuations for various US companies.
• Calculated and assessed pension trust liabilities, while reviewing the performance of pension trust assets throughout the financial year.
• Performed data cleaning and validation to ensure data accuracy in the pension valuation process.
• Analyzed and incorporated various model assumptions, such as interest rates, mortality rates, and other decrements, to develop the final valuation model for the pension trust.
• Developed a process document outlining the impact of MAP-21 regulation changes on company liabilities, specifically related to changes in interest rates.
• Conducted non-discrimination testing to ensure equitable distribution of pension trust benefits among participants.
• Prepared and submitted government forms required for regulatory approval of the pension trust model.
• Published comprehensive valuation reports to communicate final results to stakeholders.