- Two years of extensive experience in Risk Modelling on the Capital Side. Worked on both Regulatory and Economic Capital Models for predicting PD, EAD and LGD. hands on experience in working on IFRS9 compliant PD and LGD models using Time Series and Survival Analysis
- Worked for the Retail Market Risk team under the Risk Analytics function. Took the lead in the automation of the FDSF (Form Data Submission Framework) reporting procedures used by the team to generate the stress testing reports submitted to the PRA in the UK.
- Also, worked on the restructuring of the hedging procedures used for the £3 Billion Barclays Partner Finance (BPF) portfolio hedging procedures to ensure that the process was much more streamlined and efficient.
- As part of the Financial Control Modelling(FCM) (Unsecured Lending) team. I worked on creating CRDIV compliant BASEL models for Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models for the Barclayloan and UK Current Account portfolio.
- Currently, I am a part of the Financial Control Modelling(FCM) (Secured Lending) team. Currently working on developing IFRS9 compliant LGD Models for Impairment using Survival Analysis
- Developed Basel II LGD model for UK Retail Mortgage portfolio (exposure as of development period, Dec’15 - £120 bn), successfully submitted to the PRA in Dec’2015 for approval.
- Revised the default definition as specified within the Capital Requirements Directive (CRD IV)
- Ensured greater account level accuracy through more sophisticated modeling methodologies for the model components
- Successful implementation of this model would lead to an RWA release of £4bn
- Introduced the concept of Economic Loss for Cure accounts (from default) to account for losses arising due to the discounting impact on delayed arrear payments in line with regulatory requirements