Deputy Manager
Bajaj Allianz Life Insurance Company
Total years of experience :11 years, 11 Months
Risk Profiling
Limit Monitoring - Designed risk appetite framework and set exposure limits in line with investors’ expectations.
Controlled Self-Assessment - Designed risk register, identified risk events and assigned frequency and severity score. Assessed risk mitigation plans and evaluated residual risk. Modeled ex gratia loss distribution
Stress Testing - Using economic balance sheet and Evaluated RORAC, free surplus, earnings at risk and capital at risk under stressed scenarios.
Asset Liability Management - Monitored fund cash flows. Evaluated cash flows variance. Performed duration matching
Fund Performance - Evaluated fund managers performance viz a viz benchmark via tracking ratios.
Risk Dashboard - Designed key risk indicators, established reporting process & escalation mechanisms
Business Analytics
Credit Modeling - Calculated probability of default and loss given default of the FI portfolio. Evaluated credit risk due to reinsurance and off balance sheet exposure arising from expected future claims
Clustering - Segmented the market and identified populations/channels with low credit quality. Proposed mitigation and preventive warnings to be taken before entering into new business.
Data Handling - Implemented 2 factor regression model for calculating VaR and EPE.
Forecasting - Modeled credit score cards to evaluate probability of default. Periodically performed out of time testing and adjusted the models for reject inference.
Monte Carlo Simulation - Calculated equity and interest rate VaR. Performed maturity adjustments and volatility adjustments.
Risk Management
Risk Assessment - Calculated and explained VaR Changes, Exposure at Default and P&L drivers. Analyzed banks’ sensitivity to Greeks/ resolved Backtesting exceptions/ P&L validation issues.
Control Framework - Designed process mapping and developed control policies to ensure timeliness, completeness & accuracy of data. Evaluated controls, identified root cause of failures & proposed tactical/ strategic solutions
Proxy Review - Using clustering and K-nearest neighbor mapped credit exposure to the proxy. Annually, validated the proxy mapping by evaluating the residual risk via zero correlation tests.
Data Validation & Algorithmic Cleansing - Designed database schema, defined validation rules, analyzed exceptions, assured data quality. Created VBA codes for data calculation and validation. Corroborated spikes in data.
Credit Migration - Implemented methodology to calculate CVA adjustments shocks due to counterparty migration.
Negative IR - Implemented modified interest rate models to accommodate for negative interest rates
Higher Order Risks - Evaluated increase in loss prediction accuracy by increasing granularity for high order risks.
Project Management
Wrong Way Risk - To acquire IMA Waiver, defined scope statement, designed activity to calculate haircut for collateral. Monitored the progress via TCPI and performed variance analysis.
BASEL III Fed Requirements - via rolling wave planning, prioritized requirements and developed WBS structure. Implemented regression model and redesigned risk mapping. Determined cost baseline.
Scenario Risk Weighted Assets (SRWA) - Brainstormed data capability requirements to calculate RepoVaR and Scenario RWA (SRWA). Decomposed activities into milestones and designed schedule baseline.
Stressed Testing - Designed scope statement for automated identification of stressed scenario. Developed schedule network diagram to implement shock scalar methodology. Performed variance analysis & initiated change request.
Forecasting & Modeling - Developed time series models, performed regression & correlation analysis (model fitting) from Baltic Index.
Reporting - Assessing data quality. Analyzed & reported business performance and desk profitability.
Monitoring - Assisting COO in Shipping Logistics & coordinated with Accounts, Operations, Marketing, HR team & IT.
Process Redesign - Streamlined activities of shipping operations. Suggested steps & reduce cargo turnover time by 15%
Software Development- Designed randomized algorithms &developed code in Java and SQL.