Sagnik Ray
Mumbai
Summary
Detail-oriented risk management executive with a proven track record of making critical decisions, managing deadlines, and conducting team reviews. Possessing expertise in analysis and quantitative problem-solving skills. Dedicated to driving company growth and implementing improvements. Years of practical experience in achieving tangible results and fostering cross-team collaboration. Approaches work with a strong work ethic. Motivated to consistently deliver first-class results in line with stringent targets and deadlines. Proactive and excited to partner with like-minded individuals to achieve collective goals.
Overview
6
6
years of professional experience
1
1
Certification
Work History
AVP(Model Risk)
Axis Bank
12.2024 - Current
- Ensured the robustness and reliability of complex models by conducting thorough reviews of development, validation, and monitoring processes
- Assessed the conceptual soundness of model design and methodology, including data quality checks and validation of model performance
- Reviewed and validated model documentation for completeness and accuracy
- Identified and communicated potential model risks and recommended appropriate mitigation strategies
- Collaborated with model developers and validators to enhance model robustness and transparency
- Maintained compliance with relevant guidelines and best practices in model risk management
AVP, Quant (Credit Risk Management Unit)
IndusInd Bank
09.2024 - 12.2024
- Model development - Development & modification of models for PD, LGD, EAD & ECL estimates & Model validation
- IFRS 9 - Estimation of expected credit losses (ECL) including Impairment in line with IFRS 9 on the bank's Retail portfolio
- Estimation of Probability of Default (PD) and Loss Given Default (LGD) for retail products - PD forecasting and calculation for retail and corporate products (flow rate based, rating migration, and actual historical PD based on borrower risk category), PD modeling, Lifetime Marginal PD calculation & LGD Estimation
- Behavior Scorecard - Development, validation, and management
- Large data handling and management Python, SAS
Senior Manager, Credit Risk Modelling Unit
YES BANK LTD
06.2020 - 08.2024
- Model development - Development & modification of models for Internal risk scorer, PD, LGD, EAD & ECL estimates & Model validation
- Climate Risk (VAST) - Computation and analysis of Loss provisioning in bank's portfolio basis vulnerability of climate Risk Stress
- IFRS 9 - Estimation of expected credit losses (ECL) including Impairment in line with IFRS 9 on the bank's portfolio level
- Estimation of Probability of Default (PD) and Loss Given Default (LGD) of banks' rated portfolio: - Based on internal data on default, ratings, and recoveries and in line with the internal rating models
- Calibration/ Validation and implementation of PD and LGD models: - Bank's proprietary models for estimation of PD & LGD are validated and recalibrated on an annual basis
- Model Risk Management of Rating Models: - Model validation, Model performance monitoring, Model enhancement and Model Risk Assessment of 12 rating models of the bank
- Migration of Bank's credit risk portfolio to Advanced approaches under Basel II (IRB approach)
- Management of Bank's Credit policy in line with evolving regulatory guidelines and internal requirements and strategies
- Management of Internal Risk Rating Policy and Model Risk Governance Policy and updating of Master Rating scale
Internship Project
Punjab National Bank
04.2019 - 06.2019
- A Study of Transitions and computation of Expected Credit Loss (ECL)
- A detailed computation and analysis of Probability of Default (PD), Exposure at Default (EAD) & Loss Given Default (LGD) was carried out for corporate, non-fund-based loans and retail borrowers to consequently arrive at the Expected Credit Loss (ECL) of the bank
- The study also focused on the comparison of the new Ind-As ECL norms with that of the currently used IGAAP norms
Education
PGDM - Banking and Financial Services
National Institute of Bank Management
Pune, MH01.2020
B. Tech - Electrical Engineering
West Bengal University of technology
Kolkata, WB01.2017
ISC - Science
Adamas International school
Kolkata, WB01.2013
ICSE - undefined
Adamas International school
Kolkata, WB01.2011
Skills
- Model Risk Management
- Model Development
- Assessment of Climate Risks
- ECL Risk Assessment
- LGD computation
- PD Transition Analysis
- Model Validation
- Model Benchmarking
- Risk assessments
- Project implementation
- Effective Team Management
- Skilled in Python Programming
Internship Project
Punjab National Bank, 04/01/19, 06/01/19, A Study of Transitions and computation of Expected Credit Loss (ECL), A detailed computation and analysis of Probability of Default (PD), Exposure at Default (EAD) & Loss Given Default (LGD) was carried out for corporate, non-fund-based loans and retail borrowers to consequently arrive at the Expected Credit Loss (ECL) of the bank., The study also focused on the comparison of the new Ind-As ECL norms with that of the currently used IGAAP norms.
Accomplishments
- Trailblazer Award, 03/01/24, Recognized by CRO for playing critical role in creation of yearly cohort wise database of financial ratios, as part of model building exercise., Recognized by CRO for ensuring effective quantitative calibration of financial ratio parameters for SME and SBS model under new model landscape as part of model building exercise.
- CIRCLE OF SUCCESS Award, 06/01/23, Recognized by MD & CEO for exemplary performance in RBI PILOT Climate Risk Stress testing exercise and developing long term PD models extending till 2030, 2040 & 2050., Recognized by MD & CEO for overcoming multiple challenges on account of system errors and limitations to complete model validation and estimation of LGD based on data till FY22.
- Trailblazer Award, 12/01/22, Recognized by CRO for overcoming multiple challenges on account of system errors and limitations to complete model validation and estimation of PD based on data till FY21., Recognized by CRO for facilitating the model validation project the Bank did with External consultant and played a key role in data collection and analysis for this project.
- SPOT ON Award, 11/01/21, Recognized by CRO for ECL Submissions, PD/LGD estimation, Model performance monitoring and validation projects delivering results within tight timelines.
Certification
- Python For Data Science and Machine Learning Bootcamp
- Master Statistics & Machine Learning using Python
- IRM Level 1 (Enterprise Risk Management)
- Introduction to R
- Intermediate R
- Introduction of DATA in R
- Introduction to R for finance
- Credit Risk Modeling in R
- Introduction to PYTHON
Core Competency
- Climate Risk Assessment( RBI VAST)
- ECL computation
- SAS
- IRB Estimates
- PD transition study
- Model Validation
- Model Benchmarking
- Risk assessments
- Python
- R
- Staff training
- Risk reporting
- Compliance management
- Risk evaluations & analysis
- Communication skills
- Project management
- Excellent verbal communication
- Project timeline management
- Process improvement
Timeline
AVP(Model Risk)
Axis Bank
12.2024 - Current
AVP, Quant (Credit Risk Management Unit)
IndusInd Bank
09.2024 - 12.2024
Senior Manager, Credit Risk Modelling Unit
YES BANK LTD
06.2020 - 08.2024
Internship Project
Punjab National Bank
04.2019 - 06.2019
B. Tech - Electrical Engineering
West Bengal University of technology
ISC - Science
Adamas International school
ICSE - undefined
Adamas International school
PGDM - Banking and Financial Services
National Institute of Bank Management
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