Priyanka Agarwal

1. Liquidity Risk Regulatory Validation | LCR & NSFR | PRA Regulations

• Evaluated bank's implementation of liquidity regulations, assessing calculation logic, rule interpretation, data sourcing, and reporting processes to ensure alignment with PRA regulatory expectations.
• Performing comprehensive data validation, requirement traceability, and control testing to verify the accuracy of LCR and NSFR calculations, identify gaps, and support regulatory compliance remediation activities.
• Reviewed PRA Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) regulations, analysing individual articles and translating them into business, functional, and data requirements to support regulatory compliance.

2. Risk Transformation Program (RTP) | Market Risk Modernization | AWS-Snowflake

• Led requirement analysis and data onboarding for multi-year Risk Transformation Program, modernising client's market risk infrastructure by migrating on-premises risk data to AWS-Snowflake cloud platform, enhancing data accessibility and analytics capabilities.
• Collaborated with risk, technology, and data governance teams to define data sourcing, mapping, lineage, and reconciliation requirements, ensuring accuracy and completeness of market risk data across cloud ecosystems.

• Led business analysis for a strategic application developed from scratch, serving as a target source of static data for CREDIT products within FRTB SA. Elicited business requirements from users and coordinated with IT and stakeholders.
• Led BA for an application responsible for risk and valuation calculations (market risk calculation). Used full revaluation for price calculation.
• Worked on an aggregation application for the calculation of market risk as per the new FRTB standardised approach.
• Reviewed regulatory requirements to finalise solutions, ensuring compliance with FRTB SA and developing EQ bucketing for indices within the framework.
• Managed end-to-end processes for migration projects, focusing on requirements and delivery of strategic infrastructure and new operating model.
• Collaborated with stakeholders to identify business needs and data sources, strengthening client relationships through effective issue resolution and communication skills.

• Functioned as BA for application calculating risk and PnL figures for equity products, defined liquidity stream, maintained SLAs, and implemented project and regulatory enhancements.
• Acted as business analyst on credit risk application calculating PD/EAD/LGD, managing BAU operations, swiftly resolving production issues, and coordinating new requirement gathering, development, testing, and production release.
• Conducted requirement gathering for legacy migration projects, gaining in-depth understanding of ASIS and target solutions, ensuring accurate PnL and risk figures.
• Performed detailed accounting and risk PnL reconciliations during migration projects.
• Supported software development projects by defining clear requirements and effectively communicating them to technical teams.

• Led the deployment of new ALM tool for the bank. Vendor management, requirements elicitation as per RBI guidelines, testing, UAT sign-off, production release.
• Supported ALCO desk by analysing liquidity and risk factors, contributing to informed decision-making on liquidity, interest rate, and funding risk.
• Conducted stress tests on liquidity risk, assessing potential impacts on financial stability, interest rate risk, and market risk; managed intraday liquidity effectively.
• Preparation of structural liquidity statement which involved analysing cash flows by bucketing cash outflows/inflows in different time buckets as per RBI guidelines.
• Measuring interest rate risk in banking & trading book (Involves bucketing of interest rate sensitive asset/ Liabilities as per RBI guidelines and measuring its effect on NII, Market value of equity using concept of Duration, Modified Duration).
• Calculated liquidity coverage ratio and net stable funding ratio; prepared initial draft for QIS exercise, enhancing understanding of ratio components and their derivation.
• Contributed to credit risk calculation application and conducted business analyst activities, gaining insight into credit risk calculation for retail banks according to the latest regulatory guidelines.

• Calibrated data for economic scenario generator, a stress testing simulation model providing real-world scenarios for stress testing using Monte Carlo simulation technique.
• Analysed equity and interest rate projection models, including GBM, SABR, and CIR, to strengthen analytical skills.

• Developed market risk application for client, utilising various market risk calculation techniques to enhance decision-making capabilities.
• Prepared BRDs and FSDs for risk measuring methods (Monte Carlo, Sensitivity Analysis, Historical VaR) and developed models for calculating and validating various risk measures, deepening understanding of risk measurement processes and methodologies.