Narendra Sahu
Pune
Summary
Tech-savvy risk manager experienced in Credit risk, Operational risk, and Climate risk utilizing technical skills to drive business process improvements, minimize risks, and enhance cost efficiency.
Overview
7
7
years of professional experience
Work History
AVP
Credit Suisse
04.2022 - Current
- Developed various automated data control and audit reports using RMarkdown & RShiny to enhance the existing manual control steps
- Implemented Recovery & Resolution Plan (RRP) model and performed the model run as demanded by the Regulators.
- Developed & implemented Operational risk stresstest models.
Manager
Ernst & Young LLP
07.2017 - 03.2022
- Developed Expected Credit Loss (ECL) UI-based application using R Shiny for multiple Middle Eastern Banks capable of transforming raw data, calculating PD, LGD, EAD, and Staging finally arriving at ECL based on IFRS9
- Developed Business Requirement Document for software company which helped them develop ECL tool
- Responsibility included implementation of various approaches to calculate different components of ECL (PD, LGD, EAD, Staging)
- Worked with biggest bank in Myanmar to develop credit scoring model for automated decision-making of unsecured consumer lending with help of advanced analytics using Python
- Worked on development of customer behavioral model to rate borrowers based on their re-payment behavior utilizing machine learning technique such as Random Forest
- Developed and implemented Valuation in Resolution (ViR) model for bank’s wholesale non-performing assets using Python as part of regulatory requirement
- Was responsible for identifying data sources, performing data analysis, reviewing, and implementing economic/insolvency calculation in production environment, performing UAT, and preparing technical documentation
- BCBS239 assessment: Worked with large European bank helping them in transition to BCBS239 compliant system
- Responsibility includes performing various operational risk model executions, documenting controls, and operating procedures, managing and coordinating BAU activities with stakeholders and Model implementation in the new platform including risk (RWA & ERC) & allocation models in R
- Climate change risk (physical risk): Worked on modeling of exposure-based models (using Bayesian network) for climate risk to assess direct physical risk due to extreme climatic events
- Responsibility included assessing and collecting all relevant data and building dependencies for scenario analysis which was then used in Bayesian networks
- This also included conducting scenario analysis workshops with business experts of various teams for better understanding of climatic events and their impact on bank’s business and contingency plan
- Developed web application using R Shiny to develop exposure-based models using risk drivers with probabilistic distribution and executed through monte-carlo simulation.
Education
Executive Program - Fintech, Banking And Applied Risk Management
Indian Institute of Management
04.2023
Master of Science - Financial Economics
Madras School of Economics
Chennai07.2017
B.Tech - Electrical Engineering
Veer Surendra Sai University of Technology
Odisha2014
Skills
- R, R-shiny, R-Markdown, Python, VBA, SQL
- Tableau, Power BI, AWS
- Machine learning, Data analytics
- Statistics & Probability, Data Visualization
- Time series analysis
- IFRS9, Scorecard development, Behavior modeling,
- Climate physical risk modeling, Exposure based modeling
- Basel, PD, LGD, EAD, CCF, stress testing
- Basel, PD, LGD, EAD, CCF, stress testing
- Leadership, Client management
Timeline
AVP
Credit Suisse
04.2022 - Current
Manager
Ernst & Young LLP
07.2017 - 03.2022
Executive Program - Fintech, Banking And Applied Risk Management
Indian Institute of Management
Master of Science - Financial Economics
Madras School of Economics
B.Tech - Electrical Engineering
Veer Surendra Sai University of Technology
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