Arjun Sunder

• Lead bank’s Credit Risk Model team, which executes following
• Monitor/Recalibrate/ Validation/Implementation of Basel IRB (PD, LGD & EAD), and IFRS 9 (PD, LGD, EAD) models and models for RAROC/Stress testing.
• Model Risk Management; Validation of Rating models & Scorecards; Model performance Monitoring, Ownership of the bank’s Internal Rating system
• Estimation & Reporting of Expected Credit losses (ECL) based impairment provisions in line with IndAs 109 for the bank's portfolio & perform attribution analysis.
• Model Risk Assessment & Reporting

Key Achievements

• Built 12 Rating Models for Wholesale segment applying statistical techniques and expert judgement
• Led the regulatory climate risk stress testing exercise; Built long term TTC & PIT models
• Built PD model for Low default portfolio portfolios such as Co-operative banks and Primary dealers.
• Built templates and tools which improved the quality of ECL reporting & periodic attribution analysis
• Pioneered statistical validation of judgement based LGDs used in RAROC model.
• Revamped Master Rating Scale of the bank, which improved the quality of Credit Risk aggregation and Reporting.
• Refined the Risk Based Pricing policy & RAROC computation methods, which enhanced transparency, simplicity and risk sensitivity of pricing process.
• Formulated Policy and guidelines for niche products/schemes such as ECLGS and OTR for Wholesale Banking Vertical and advised teams on compliance.

• Refined the ICAAP KRI framework to sharpen the asset quality monitoring.
• Thematic Stress testing of Mortgage Portfolio to factor in the interest rate shocks

• Credit Risk Modelling
• Modelling & Validation of PD, LGD and CCF models for Corporate and Retail portfolio under IRB
• Built Rating models & Application scorecards
• Validation of rating models and scorecard in line with methods detailed in Working paper 14 of BCBS
• Built forward looking PIT PD model and PD term structure in line with IFRS-9/IndAS109.

Credit Risk Systems Implementation

• Led End to End implementation of the SAS system for computation and reporting of CRAR under Basel-III norms, thereby automating CRAR computation & reporting.
• Implementation of Rating systems, which include hosting of rating models, design of User Interface, storage and retrieval of data, which facilitates model validation/monitoring & standardization of scoring.
• Enterprise Risk Management
• Maximized capital savings by identification of capital guzzling exposures and improvement in methods and procedures
• Revamped ICAAP Policy of the bank by quantifying Pillar- II risks such as Liquidity, Credit Concentration, IRRBB Settlement and Pension Obligation
• Developed the templates to compute the capital requirements to (QCCP) and Credit Valuation Adjustment (CVA)
• Transformed the Stress testing and ICAAP of the bank by developing macro-economic scenarios and establishing sound rationale behind the assumptions
• Introduced new stress testing scenarios for testing the impact of weakness in credit risk mitigants, fall in rating downgrades and credit concentration
• Regulatory Reporting & Compliance
• Preparation, review and submission of CRAR returns (RCA-3) on a quarterly basis
• Variance analysis and execution of pre-submission checks and implementation of control procedures to improve accuracy and reduce manual intervention.
• Reporting of Liquidity Coverage Ratio (LCR) & NSFR and execution of Stress Testing and ICAAP in line with RBI guidelines /Industry best practices.
• Assessment and reporting of counterparty exposures and monitoring of credit concentrations in line with LEF, CRILC norms
• Credit Rating Policy & Portfolio Management
• Formulation, review and management of credit risk rating policies and credit rating systems of the bank
• Risk review and stress testing of Portfolio Buy out transactions and fixation of interbank exposure limits based on net worth and internal rating
• Periodic monitoring of rating wise distribution of exposures/counterparties and Portfolio Quality Indices
• Corporate Credit Rating
• Credit risk rating of Corporate/SME borrowers operating in diverse segments such as infrastructure, steel, petrochemicals, and cement, banking and equipment finance industries
• Market Risk & ALM
• Computation and reporting of Market Risk monitoring metrics such as PV01, Modified Duration, Var and PFE.
• Monitoring of Liquidity risk & IRRBB through ratios (LCR, NSFR etc.) and flow approaches (SLS & IRST) ’2018- March 2020 with South Indian Bank Limited, MumbaLatest Designation: Chief Manager Treasury Operations
• G-sec portfolio management, maintenance of reserve ratios and short-term liquidity management
• Ensure compliance of Domestic Treasury (front office) Operations with RBI/ policy norms