Greater Bengaluru Area
Consulting Solution Manager @Oracle. Expert in below products and its domain OFSAA - FTP, ALM - Liquidity, PFT, IRRBB-EVE & NII SAS Risk Management - Basel & ALM, Liquidity, FTP, IRRBB -EVE &NII Platform X - FRTB, Basel IV, IFRS9 (Central limit theorem and Linear regression) Basel Market risk (Standard, CCR, CVA and FRTB) Moody's Analytics- IFRS9 (RCO) GCORR (Internal models - Linear regression, Logistic and ASRF) and Basel (Risk Authority)
Implementation of Asset liability management in The Saudi Arabia British Bank( subsidiary of HSBC Group London)using the SAS Risk Management Analytics. Integrated HUB Core banking system, Investment banking murex and c400 with SAS. Generated Big 4 reports LDR, LCR, NSFR &SLR. Validation of EVE model In SAS analytics : 1,Converted murex interest rates curves to IRRBB curves & generated six scenario curves. 2,Generated NMD cash flows using IRRBB given metric for volatile & core 3,Applied six scenario curves on cash flows generated for each instrument to calculate eve. Validation of NII Model in SAS analytics using the spirit of IRRBB constant balance sheet : 1, created synthetic instrument on capital repaid by original exposure 2, Applied two scenario interest rates curves on synthetic instruments to generate cash flows using current market rates . Generated FTP by integrating Murex and HUB Core banking systems. Behavioural deals of NMD & capital were taken murex to charge against respective business units. ETL integration with murex : Validation of investment and derivative portfolio data from the perspective of financial investment accounting and hedge accounting. ETL integration with core banking. Validation of data from the perspective of LCR and NSFR report model . ALM configuration: Tested cash flows generated in SAS by checking payment method , day basis & necessary parameters.
Implementation of Basel III credit risk , market & operational risk standard approach for HBTF bank Jordan. SA CCR , CVA ,Basel III credit Market Risk & operational risk standard approach for Zand Bank Dubai. Configuration of Basel 4 dashboard, FRTB calculating engine & its dashboard in Platform X the Big data Analytics Product Platform X. Learned Basel III credit risk IRB approach in Platform X credit risk using Mizho Bank BRD and FSD prepared for product development . Platform X IFRS9 EAD,LGD,PD Model support for Hbtf bank jordan.Supported model developed based on central tendency theorem using logistics regression and binomial distribution for term structure . In linear regression Moody's bond default sample along with macro economic variables satisfying statistics tests of stationarity of residuals , satisfying normality of residuals , satisfying randomness in residuals and satisfying homoscadity of residuals were used to validate model & generate estimated central tendency pds & then regulatory given lgds for calculating expected loss
Implementation of Basel III standard approach in credit risk, market risk and operational risk using Moody's Analytics RAY . The Moody's Analytics RAY was implemented in Ahli United Bank Bahrain, Kuwait, Egypt, United Kingdom and AUB Group company Bahrain Implementation of IFRS 9 in the bank Kuwait finance house. The RCO was used to configure the Vintage loss model for retail portfolios & Moody's bond ratings ttc pdc to pit was used for corporate portfolios , Gcorr model & macro economic variables were used to stress pit PD
I was deputed at the equitas Bank Chennai. In this tenure I was assigned with the responsibility of requirement gathering and mapping of data definition of OFSAA analytics to upstream systems for implementation of ALM & Basel modules. This Bank is a small savings finance bank , most of the bank portfolio is giving loans to unorganised sector workers where the loan amount which matures in 7,days to 14 days. Loan cash flows where loaded from upstream system instead of generating in ofsaa system. The behavioural cash flows percentage of volatile and core were prescribed by the central bank for overdraft, credit card and current savings account. The regulatory reports taken from ofsaa for ALM module are SLR, EVE and NII . In Basel, requirement gathering was done for generating RWA for gold loans, unsecured daily lending loan, unsecured 14 days maturing loan. Repo, investment in govt treasury tbill and government bonds . comprehensive haircut method was used on application of collateral.