FARHAN MOHAMMAD

Managing Business Analysis of ALM/ACM solution from FIS.
•Preparation of BRD, Design document and FS for Basel 2 /3 (SA-CCR, FRTB, LCR and NSFR)
•Preparation of Policy guidelines for Modelling of PD and LGD
•Preparation of Modelling document for prepayment behaviour and replication key
•Data mapping with various source system and help ETL team to develop scripts
•Design report format
•Reconciliation of data with Finance
•Configuration of FIS system for various instrument, Rating, exposure, Collateral etc.
•Support business to do UAT
•Cut-over exercise

- Risk Management solution (OFSAA implementation)
Responsibilities:

•Conduct workshop and Managing Business Requirement for OFSAA related projects
•Preparation of BRD, Design document and FS for Credit Risk, Market Risk and Basel 2/3
•Business blueprinting and Interface study and Architecture
•Product walkthrough and presales demo
•Solution configuration and data mapping
•UAT support
•Training to users
•Defect Management

Implementation of Trade, Treasury, Risk Management and IFRS 9 solution for 3 banks in Qatar
•Managing the Project resource, Project budget and client.

and Basel

Implementation of Basel 2 Standardised and IRB model, Market Risk, Credit Risk and AML/ KYC module.
•Implementation Basel 3 and ICAAP with full understanding of LCR & NSFR and liquidity buffer requirement.
•Implementation of Operational Risk Framework
•Lead team for development, validation & PD calibration of corporate internal rating models, for asset book size of , as a requirement for Basel II & Basel III regulatory compliance.
•Developed and validated methodologies for Pillar II, Stress Testing modelling (using Monte Carlo simulation technique) and Economic Capital under different scenarios for ICAAP development and onward submission to the regulator.
6.

Market Risk, ALM & FTP, Basel2/3 and Capital Management

Responsibilities:

•Elicit requirements for Market Risk, ALM/FTP, Basel 2/3 and capital managementframework.
•Developing reports for Monitoring Market Risk of the portfolio using tools like VaR and Duration.
•Data mapping, Data gathering, and developing data loading scripts for risk aggregation.
•Constructing different rate curve for bench marking of Fund transfer pricing.
•Performing Balance Sheet forecasting to aid in the analysis of derivatives, interest rate risk, and liquidity risk using earnings simulations and discounted cash flow models using the Kamakura’s ALM forecasting tool.
•Implementation of Basel III in the bank including but not limited to LCR, NSFR and Leverage Ratio
•Reporting of daily time bucket-wise and currency-wise cash-flows for nostro funding and ALCO reporting.
•Reconciling actual and forecasted results. Modifies models to improve future forecasts.
Conducting analyses and determines various input assumptions for interest rate and liquidity risk including non-maturity deposit betas, asset prepayments and deposit decay rates.
•Develop and implement Customer profitability Model
•Provide analytical support for management forums including Asset/Liability Committee ("ALCO"), Credit Risk Committee, Head of Treasury, Product Finance, Head of Retail & Wholesale banking.
5. Organisation

Requirement gathering for Group-wide Risk Management function encompassing Risk Quantification, Risk Estimation, Risk and Rating modelling for Retail, Corporate, Specialized Lending.
•Preparation of Gap Analysis document for Basel 2 requirement related to Pillar for Credit Risk, Market Risk and Operation Risk. And framework for Capital Requirement.
•Validation and back-testing of Internal risk parameters and estimates. Internal Capital Adequacy Assessment Process (ICAAP).
•Implemented calculation engine for regulatory reporting of Credit, Market, Operational and Pillar II Risks and ensuring Capital Adequacy
•Developing stress testing & Economic capital offering frameworkfor Basel II
7 .Organisation: SAP GDC

Basel II - IMPLEMENTATION

extensively on Value at Risk approaches to evaluate the risk exposure on a trading portfolio, the Back-testing of the VaR model and the calibration of the Capital Charge based on the back testing results under Internal Models based Approach.
•Knowledge of Derivative Pricing Models including Interest Rate Swaps, Forward Rate Agreements, Currency Forwards and Swaps, Cross Currency Swaps, Currency and Equity option and Greeks, Interest Rate Modelling (CIR model), Volatility Estimating using GARCH.
•Worked with related models of Incremental VaR and Delta Normal Approach to portfolio valuation.
•Worked on models for Asset Liability Management namely DGAP, NII, EAR, Price Sensitive gaps, Rate Sensitive gaps, and Liquidity gaps.
•Worked on the Risk Management Framework defined under the BIS Basel II Accord, inclusive of Basel I, Basel II, Stress Testing and ICAAP.
•Worked on development of requirement for the use of KMV model for PD of corporate and other listed entities.
•Worked on models related to Operation Risk (Loss norms estimation technique, building loss distribution using EVT & GPD) and Basel II operational risk approaches (Basic Indicator & Standardized).