Worked as a statistician, functional consultant, business analyst, subject matter expert and single point of contact for advanced analytics, functional design of Credit and Operational Risk solutions and numerical algorithms.
The core solutions that I managed during my tenure here are:
Retail pooling solution (July 2007- Jan 2008)
Under the Capital adequacy framework of Basel II, banks will for the first time be permitted to group their loans to private individuals and small corporate clients into a ‘Retail portfolio’. As a result, they will be able to calculate the capital requirements for the credit risk of these retail portfolios rather than for the individual accounts. I joined this solution during system testing phase .During this period, we had tested, modeled and released the retail pooling solution.
- Data analysis
- Regression Models
- Creation of pools using Hierarchical, k-means clustering.
- Variable Reduction using Factor Analysis
- GINI
- Entropy
- Impurity Measure
- Report Generation-Pool Stability Report.
- Basel Output Report
Credit Risk Economic Capital Solution (Jan 2008- Jan 2009)
Functional design, statistical algorithms, quality testing of Economic Capital Solution aligning to Basel II regulations. The out of box models were developed on the probability of default (PD), the loss given default (LGD) and the exposure at default (EAD).The other models I worked are:
- Time to default Model
- Merton Model
- Cash Flow Models
- MCEM model, Transition Matrix, Credit Metrics Structural Model.
- Conditional Default Model
- Black Scholes Model.
- Historical Default Weighted Average of Pool Observed LGD
- Distribution Fitting
- Logistic Regression
- Credit Metrics Structural Modeling
- VaR, cVar, Expected Loss, Monte Carlo Simulation, Unexpected Loss, Economic Capital.
- Data Model understanding and data preparation, loading and modeling
Functional testing of the models
- Test cases for specified applications
- Test, record and report defects in testing a software application
- Provide technical design for product enhancements
Operational Risk Economic Capital Solution (Jan 2009- September 2009)
The new accord emphasizes the financial institutions to make Operational Risk assessment as one of their integral component of risk management system. ROREC product calculates economic capital for operational risk using the Loss Distribution Approach as well as Scenario Analysis and application of Standardized Approach for Operational Risk. The major areas of the solution that I worked are -
- Severity Modeling for Scenario Data.
- Distribution Fitting for 20 distributions
- Functional testing, Test Strategy Preparation, Test Management
- Monte Carlo Simulation result validation for 20 distributions.
- Validation of the results from NAG libraries.
- Frequency of Loss Modeling.
- Copulas
- Unexpected Loss, Expected Loss, Value at Risk, cVaR calculation for Regulatory and Economic Capital.
- Operation Risk Reporting
- Insurance Models–Proportional Retention Model, Aggregate Deductible Model
- Data Model Understanding
- Data Model understanding and data preparation, loading and modeling
Functional testing of the models
- Test cases for specified applications
Stress testing and CREC‘s OBIEE Dashboard for ICAAP (September 2009 – Jan 2010)
Stress Testing framework to enable risk managers to measure losses from extreme, although plausible, scenarios Stress testing exercises are widely used by financial institutions in assessing their exposures to credit and other risks. Stress tests can also help policy makers to gauge the potential implications of differing risks for the stability of the financial system as a whole. And in recent years, there has been a burgeoning interest in such systemic stress testing among central banks and international organizations
The major areas that I worked are
- Building models to gauge Macroeconomic stress tests
- Stress Testing PD , LGD and EAD models
- Future Value Shock
- Monte Carlo simulations and stress tests
- Estimation of Baseline distribution
- Models for simulated frequency distributions of credit loss under baseline and stressed scenarios
- Credit Risk Economic Capital Stress Testing
- Data Model understanding and data preparation, loading and modeling
Functional testing of the models
- Test cases for specified applications
- Test, record and report defects in testing a software application
- Provide technical design for product enhancements
- Stress for bank’s Mortgage Portfolio
- Interest Rate Shock Model
Advanced Analytics Infrastructure (Jan 2010 – July 2011)
Involved in conceptualizing enhancements to the Reveleus Advanced Analytics Infrastructure that was also part of second version of Operational Risk management. A key advisor in developing in-house graphical functional for Statistical Models using gnuplot, pre sales consulting,training the development and pre sales groups on risk systems, products and processes and the way these processes are achieved at a software level
Solvency II (July 2011 – Nov 2011)
Solvency as referred to by the EC Insurance Directives means the financial resources of an insurance undertaking, i.e. in essence the difference between the assets and the liabilities of the insurer. This kind of safety capital is necessary in order to absorb discrepancies between the anticipated and the actual expenses and profits
- Requirement understanding
- Preparation of Functional Design Documents
- Analyzing the Quantitative impact Study , Reports
- Functional Inputs for Data Model
- Analyzing various Risk Drivers , Reinsurance , Run off triangles ,Group insurance reports
Implementation and Presales Support
The products designed and developed by OFSAA, Bangalore has been in the Gartner's leader's quadrant. Being the only statistician in the team, I had provided my expertise and advise in winning world wide clients for solutions. Being part of a product life cycle is a satisfying experience. I worked with sales, pre sales globally to win deals in India, North America, ASEAN , Australia , Middle East. Post sales, I was actively involved in guiding the implementation team, product support teams till the go live of the solution