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
Climate Risk
Model Development
Model Validation
Model Monitoring
Basel
IFRS9
Statistics
Deep Learning
Machine Learning
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