Gaurav Amrutkar
Mumbai
Summary
Experienced quantitative professional specializing in credit risk and advanced analytics, with hands-on expertise in machine learning, statistical modelling, optimization, Python, SQL and Azure, and an M.Tech in Operations Research from IIT Bombay.
Overview
7
7
years of professional experience
1
1
Certification
Work History
Credit Risk Modeller
Investec Bank
12.2023 - Current
- Led development, enhancement, and ongoing maintenance of IFRS 9 LGD models across multiple portfolios, supporting a £30bn exposure base with total ECL of ~£28m, ensuring regulatory compliance and model robustness.
- Designed and implemented the LGD model monitoring framework from scratch, covering performance metrics, stability analysis, threshold breaches, and governance reporting for production models.
- Built end-to-end ECL sensitivity analysis infrastructure on live production data, enabling parameter-level impact assessment and supporting model risk, audit, and senior management reviews.
- Conducted macroeconomic impact and ECL movement analysis, delivering deep-dive and ad-hoc insights to explain portfolio-level ECL volatility and support strategic and regulatory decision-making.
Associate Manager- Credit Risk Modelling
ANZ Bank
04.2021 - 12.2023
- Developed a Credit Risk model for predicting a Expected Credit Loss using the Regression and Markov Chain methodology for Retail Credit Cards Portfolio.
- Delivering insightful analysis of portfolio trends based on model monitoring data for both Basel Capital Models for PD, EAD, LGD and IFRS9 ECL Provision Models.
- Leading the Model Performance and Review Forum by developing data insights and visualisation using Qlik and engagement with stakeholders on model performance.
- Monthly data quality review and aligning the data fluctuations with business decisions and broader macroeconomic and policy decisions.
Analyst- Business Consulting
HSBC Global Analytics Centre
07.2019 - 04.2021
- Predicting Customer Attrition for Proactive Retention - Analysed customer portfolio to quantify the revenue leakage due to attrition/ inactivity of customers followed by profiling of high value regrettable customers.
- Developed ML model using Random Forest algorithm to identify customers with high propensity to attrite in future based on their engagement with bank.
- Growth Opportunities by Targeted Offering - Identified potential look alike customers based on demographics, product holdings and product balances using unsupervised machine learning approach for the cross-selling of the wealth products.
Education
M.Tech - Industrial Engineering and Operations Research
Indian Institute of Technology Bombay
06.2019
B.E. - Mechanical Engineering
Savitribai Phule Pune University
06.2016
Skills
- Data Science
- Credit Risk Modelling
- Machine Learning
- Optimisation
- NLP
- Model Monitoring and Validation
- Python
- Agile Methodologies
- SAS
- SQL
- Stakeholder Management
- Qlik Sense
- Analytical Problem Solving
- Git
- Pyspark
- Predictive Modelling
- R
Certification
- GARP FRM (Financial Risk Manager - Level 1)
- IBM Data Science Professional Certificate
- Machine Learning- Stanford University Coursera
Languages
- Hindi
- Marathi
- English, Fluent
- Hindi, Fluent
- Marathi, 80/100
Hobbies and Interests
- Politics
- Sketching
- Equity Market
Projects
Simplifying Decision Trees | Masters Thesis
In Data Mining, especially while dealing with the data from social context, there is huge problem of overfitting which makes the decision trees complex and difficult to interpret. Observed that grouping similar values of variables into relatively homogenous subsets will significantly reduce the complexity of decision trees without much loss of accuracy resulting into highly interpretable easy to understand model as people lack trust in black boxes.
Recognising Human Actions using Sequential Deep Learning
Studied advanced deep learning algorithms like Convolutional Neural Networks (CNN) and Recurrent Neural Networks (RNN) can be used for the video analytics.
Timeline
Credit Risk Modeller
Investec Bank
12.2023 - Current
Associate Manager- Credit Risk Modelling
ANZ Bank
04.2021 - 12.2023
Analyst- Business Consulting
HSBC Global Analytics Centre
07.2019 - 04.2021
M.Tech - Industrial Engineering and Operations Research
Indian Institute of Technology Bombay
B.E. - Mechanical Engineering
Savitribai Phule Pune University