Associate Vice President
Barclays - India
Total years of experience :5 years, 10 Months
• Leading team to monitor and validate (based on MRM framework) the IFRS9 models for retail portfolio and Liaising with Auditor, Independent validator and SOX control team on issues related IFRS9 model for Barclays UK retail portfolio and remediating issues. Model validation includes end to end validation framework (model assumption/limitation, model tiering, monitoring KPI, data quality and control, PMA. Usage, Model validity).
• Lead team to develop CECL EAD and CCAR attrition model development. Developed tool to identify variation in IFRS 9 ECL and CECL for US cards portfolio.
• Developed Sensitivity, Uncertainty analysis. model stability Framework for IFRS9 models and SICR criteria.
• Developed LGD component level monitoring framework for defaulted and non-defaulted population for mortgage portfolio. Incorporated cohort level monitoring framework which included closed and open accounts at time of monitoring.
• Developed IFRS 9 conditional PD term structure, Attrition models, EAD, LGD component level model and ECL scoring for mortgage portfolio. Validated the SICR criteria for mortgage portfolio based on benchmarked external peers’ data.
Designed framework to convert all conditional model into unconditional model.
• Involved in MTP (midterm planning) and IST (internal stress testing) for balance forecasting for Mortgage portfolio. The portfolio was run off so assumption for new origination account was considered for forecasting.
• Designed IFRS 9 LGD and PD term structure framework for credit and SME portfolio. Developed LGD models for SME portfolio. Developed PPD, Settlements and recovery model for LGD. Conditional PD and attritional model developed for unconditional model. Model was developed using internal, bureau, time spline and MEV.
• Designed and developed IRB PIT PD and LGD models aligning with EBA and PRA guideline. These models are act as feeder for IFRS9.
• Developed end to end scoring code for ECL calculation for retail portfolio (credit card, commercial payments, mortgage, SME, consumer loans).
• Designed risk management framework for IFRS9 models for Barclays UK retail portfolio. Developed tool to identify root cause of ECL volatility.
• Designed climate impact framework on impairment charges for mortgage portfolio. One of scenario used was to check impact on customer affordability when customer need extra funding for energy efficient house.