Ipsita Sondhi

• IFRS9 Model Validation: Conducted PD, LGD, EAD rating methodology validation focusing on the discriminatory power of the model and predictive power of the parameters when compared to historical default and loss experiences.
• ICAAP & Stress Testing Validation: Validating and gap analysis of regional bank’s ICAAP and stress testing models by identifying plausible stress scenarios, realistic magnitude of shocks, trend analysis of parameters considered and computation/reporting of resultant RWAs based on CBUAE guidelines.
• Business Process Reengineering: Gap analysis and optimization of existing business process of regional bank in comparison to global process benchmarks.
• Stakeholder & Client Management: Actively interacted and communicated model review outcomes and intermediate feedbacks with front office, model developers and risk managers both verbally and through documentation and reporting.

• Feed Analysis for IFRS9: Analyzed 5 out of 10 systems required for IFRS9 reporting. 30+ files were analyzed for identifying counterparty related Legal Entity, Product group, Product types along with reconciliation of balances with front office systems.
• Data Sourcing & Model Validation: Sourced historical Probability of Default (PD) and Loss Given Default (LGD) data from front office systems for computation of Exposure at Default (EAD) and Expected Credit Loss (ECL) Models required by IFRS9 standards, alongside validating the models using SAS.
• Business Requirement Documentation (BRD): Prepared 7 BRDs to establish business rules defining logic for data sourcing and development of data warehouse for model computation of IFRS9.
• Stakeholder Management: Actively interacted with front office system owners and model users, from global locations, to understand the data sourced and troubleshoot the data quality issues.