Sambuddha Sekhar

• Working as an Associate Director, having the role of Risk Modelling and Analytics Specialist at UBS, with primary responsibility being the validation of quantitative models used for IB portfolio credit risk assessment (counterparty credit risk) , working as part of the Model Risk Management team.
• Worked on models calculating the Probability of Default, Loss Given Default, Credit Conversion Factor, and Expected Tail Loss for regulatory authorities such as FINMA and the FED, for models applicable to Basel Pillar 1, Pillar 2, IFRS 9 , and CCAR risk assessment exercises.
• Key areas of focus maintained during model validation apart from reviewing model components are: Margin of Conservatism, Basel Regulatory Compliance, Model Limitation & Weakness, Alignment of the Model with Business Purpose.
• Identified key gaps in different models that led to material change in overall RWA(Risk weighted Assets) for the portfolios within scope.
• Statistical methodologies practiced are Regression (Linear, Logistic, Probit, Beta, Panel data), Hypothesis Testing (Parametric & Non-Parametric), Monte Carlo Simulation , LDP (Low default portfolio), Bootstrapping, Model Diagnostics, Clustering, KMV model etc.
• Developed challenger models using machine learning techniques such as Random Forest, Gradient Boosting etc.
• Presented the work through formal validation reports , as well as through presentation to the model owners and senior management.

Innovation Projects:

• Worked on a cross team collaborative project to develop a centralized code repository in R language to be used across teams for model validation purposes.
• Developed classes to implement generalized linear regression models along with different tests and diagnostic processes and machine learning algorithms like Forward/Backward propagation, Bootstrapping etc
• Held a workshop and made presentations about Git and GitLab and how to use it for collaborative projects including concepts like branching, forking, merge requests etc.