Saurabh Gupta

Key Result Areas:
 Model Development: Designing AIRB PD/LGD/EAD model architectures aligned with
PRA rules, ensuring theoretical coherence and robust credit-risk justification.
 Conceptual Soundness: Conducting model structure analysis, evaluating variable
rationale, and validating conceptual adequacy across wholesale portfolios.
 Model Governance: Embedding PRA-aligned governance controls, defining
documentation traceability, and aligning lifecycle artefacts to regulatory expectations.
 Validation Alignment: Performing data representativeness, PSI checks, and surface
metric-based assessments to support independent challenge requirements.
 Model Monitoring: Implementing monitoring frameworks covering Gini, stability
metrics, calibration trends, and early-warning drift behaviour.
 IFRS 9 Testing: Conducting ECL boundary assessments, back-testing alignment, and
ensuring model behaviour stays within expected prudential thresholds.
 Data Engineering: Building model-ready datasets, applying missing-value logic,
pipeline automation, and multi-stage traceability checks.
 Cross-Team Collaboration: Coordinating with MSO, credit risk teams, economists, and
model owners to ensure business-aligned model use boundaries.
 Regulatory Documentation: Authoring LaTeX-based development documents
mapping guideline-to-model adherence and ensuring audit-ready completeness.
 Challenger Models: Structuring challenger PD models to enhance transparency,
support remediation pathways, and reinforce governance expectations.

 Data Architecture: Designed end-to-end data pipelines for campaign targeting,
ensuring segmentation accuracy and cross-system consistency.
 ETL Migration: Led SAS-to-Spark/Hive migration, improving scalability, processing
efficiency, and analytical flexibility across datasets.
 Data Governance: Implemented quality controls, anomaly detection, deduplication
checks, and imputation treatments supporting downstream analytics.
 Automation Frameworks: Developed Unix-based automation modules, streamlining
recurring processes and reducing manual operational gaps.
 Secure Transfers: Built secure file-transfer modules using AMEX SFT protocols,
ensuring compliant and reliable data distribution workflows.

 Risk Analytics: Delivered SAS-based credit rating analytics supporting US insurance
and media portfolios with structured data validations.
 Team Leadership: Directed analysts to deliver multi-portfolio insights, ensuring high
quality modelling inputs and timelines.
 Process Automation: Automated legacy reporting flows using SAS DI, strengthening
reporting accuracy and reducing operational defects.

 Statistical Analysis: Performed SAS-based survey analytics, delivering insights driving
client marketing and behavioural strategy decisions.

 Lifecycle Platforms: Developed modules under RAMP analytics supporting end-to-end
model lifecycle management and validation streams.
 Data Warehousing: Maintained AMEX USA warehouse environments, ensuring data
availability, lineage tracking, and dashboard automation.
 Automation: Created shell-scripted automation tools enhancing reporting timeliness
and operational stability across risk datasets.