Summary
Overview
Work History
Education
Skills
Additional Information
Work Availability
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ARPAN DIAN

ARPAN DIAN

Data Scientist
Kolkata

Summary

Collaborative leader with dedication to partnering with coworkers to promote engaged, empowering work culture. Documented strengths in building and maintaining relationships with diverse range of stakeholders in dynamic, fast-paced settings.

Overview

7
7
years of professional experience
6
6
years of post-secondary education
4
4
Languages

Work History

Manager

EY India
Kolkata
03.2022 - Current
  • Credit Risk Model Development and Validation (R, Python, SAS, Sql)
  • Developed IFRS9 PD models for bank using logistic regression for retail portfolio of Kuwait and Jordan based banks
  • Automated and implemented IFRS9 PD and LGD models in R programming language for retail portfolio of Saudi Arabian bank
  • Validated application scorecard and behavioral scorecard models for buy-to-let and residential portfolio for mid-sized UK bank and further tested models for its accuracy, discrimination, and stability under BASEL guidelines
  • Developed and implemented stress testing models to forecast different line items (balances, net interest income, net fee income etc.) of income statement using Python.

Senior Analyst

HSBC Bank
Kolkata
03.2019 - 03.2022
  • IFRS9 Credit Risk Model Development (R, Python, SAS, Sql)
  • Developed regression-based macro-PD model using macroeconomic variables for wholesale portfolio
  • Worked on EAD model of wholesale portfolio
  • Worked on internal stress testing and PRA, EBA stress testing
  • Developed R-Shiny based automated dashboard for building end-to-end IFRS9 PD model (macroeconomic sensitive PD model and IFRS9 Cumulative PD model)
  • Assisted in creation and execution of Climate Risk stress testing for CBES and ECB exercise
  • Doing monthly or quarterly BAU work like LGD underlay, macro-PD projections, macroeconomic variable comparisons, portfolio deep dive to change in PD or ECL
  • Reconciliation of different data sources

Quantitative Analyst

CRISIL
Chennai
07.2017 - 01.2019
  • AML scenario Validation (SAS, SQL, Excel)
  • Validate scenario for detecting fraud transaction and develop different scenarios for trade anti money laundering (AML) case for UK based MNC Bank
  • Simulated different scenarios for different countries and reconcile this with oracle-based MANTAS and
  • DETICA software to check whether there is any difference between simulation and MANTAS or
  • DETICA result
  • Tuned different threshold parameter statistically (Using percentile jump method)

Junior Manager Analyst

5o Hertz
New Delhi
08.2016 - 07.2017
  • Model Development- (R, Excel)
  • Statistical model development for electricity demand forecasting for electricity distributing companies (DISCOMs)
  • Predictive model of wind speed using multiple linear regressions
  • Electrical demand forecast for different states using ARIMA technique

Education

Master of Science - Statistics & Operation Research

Indian Statistical Institute (ISI)
Kolkata
06.2014 - 06.2016

Bachelor of Science - Electrical Engineering

West Bengal University of Technology (WBUT)
Kolkata
06.2009 - 06.2013

Skills

    Credit Risk

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Additional Information

  • Total 7 Years+ experience in Analytics
  • 5 Years+ in Credit risk domain.
  • More than 5 years working in Banking industry.

Work Availability

monday
tuesday
wednesday
thursday
friday
saturday
sunday
morning
afternoon
evening
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Quote

The way to get started is to quit talking and begin doing.
Walt Disney

Timeline

Manager

EY India
03.2022 - Current

Senior Analyst

HSBC Bank
03.2019 - 03.2022

Quantitative Analyst

CRISIL
07.2017 - 01.2019

Junior Manager Analyst

5o Hertz
08.2016 - 07.2017

Master of Science - Statistics & Operation Research

Indian Statistical Institute (ISI)
06.2014 - 06.2016

Bachelor of Science - Electrical Engineering

West Bengal University of Technology (WBUT)
06.2009 - 06.2013

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ARPAN DIANData Scientist