Neha Prasad

• Roles and Responsibilities: Quarterly monitor the IRB and IFRS9 models and compute ECL impact
• Leaded the complete automation of the quarterly monitoring in SAS from Excel.
• Initiated and Implemented the IFRS9 lifetime PD monitoring of corporate models.
• Working on the EBA new model monitoring and MOC monitoring template.
• Working on the implementation of a black scholes based PD and LGD model monitoring.

· Initial/Annual validation of Credit risk Basel-2 models, documenting the results along with validation rating and presenting it to the senior management thus conditioning whether the fit for use or if it needs to be recalibrated/redeveloped.

· The process includes data quality check followed by extensive data analysis of the validation data to study the reasons for movements of EAD, RWA, model factors, grading event compared to previous year. Assessing the Model performance on the current population by analyzing the key performance indicators like Stability, GINI, KS statistic along with standard analysis as suggested by regulator. Validation checks are carried out against each Compliance regulatory requirement articles to ensure end to end validation of the model and thereby accordingly ranking Model risk rating.

· Deep dive review of monitoring packs of the capital models.

· Strong understanding of risk metrics PD/LGD/EAD in Wholesale and Retails models.

· Reviewed the redevelopment of Slotting wholesale model as per EBA guidelines.