SANDEEP KUMAR
FARIDABAD
Summary
Director with extensive experience at KPMG, specializing in advanced credit risk model development and regulatory compliance. Proven track record in stakeholder engagement and model validation, enhancing accuracy and risk differentiation.
Adept at project management, driving impactful results through innovative methodologies and cross-functional collaboration.
Overview
11
11
years of professional experience
Work History
Gurugram
KPMG - Risk Advisory Services
07.2023 - Current
- Development of Advanced Internal Ratings-Based (AIRB) credit risk models for diverse portfolios including General Industries, Project Finance, and US Pension Funds, ensuring alignment with Basel regulatory standards.
- Remediation of ECB findings
- Calibration and validation of Probability of Default Master Scale using firm-specific internal default data across multiple asset classes, enhancing model accuracy and portfolio risk differentiation.
- Collaborated with cross-functional teams to address regulatory inquiries, providing detailed model documentation, impact analyses, and methodological justifications to support supervisory reviews and audits.
- Remediated ECB (European Central Bank) findings by implementing targeted model enhancements, revising documentation, and aligning methodologies with regulatory expectations to close supervisory gaps.
Senior Manager
American Express
09.2022 - 06.2023
- Designed and implemented Hyperparameter Optimization Policy Standards to ensure consistent, transparent, and auditable tuning practices across AIRB and non-AIRB (including ML) models. Established guidelines for algorithm selection, search strategies (e.g., grid/random/Bayesian), and performance metrics to align with regulatory expectations and internal model risk governance.
- Developed and institutionalized Model Interpretability Policy Standards, integrating explainability frameworks (e.g., SHAP, LIME, feature importance) into model development lifecycle. Ensured that all models—especially complex ones like ensemble and neural networks—met transparency requirements for internal validation, audit, and regulatory review.
- Temporal shapelets for intelligent feature engineering, extracting discriminative time-series patterns to enhance model performance and interpretability. Applied shapelet-based transformations to capture latent temporal dynamics in credit behavior, enabling more robust risk segmentation and predictive accuracy.
Manager
PWC
08.2021 - 09.2022
- Developed AIRB - EAD model for 'Warehouse Facilities'
- Developing Rating model for US Pension Funds using qualitative and quantitative factors.
- Validated CMBS(Commercial Mortgage Backed Securities) model.
Associate VP
BARCLAYS
07.2019 - 08.2021
- Set up model monitoring protocols for Advanced-IRB PD Models (Mid Corporate and Large Corporate PD models).
- Developed regression model for Point in Time (PIT) PD to Through the Cycle (TTC) PD conversion in R.
- Created code to calculate model performance KPIs (Discriminatory Power, PSI, Calibration Accuracy) and automated monitoring reports.
AM
American Express
12.2017 - 07.2019
- Developed Marketing Scorecards for US Market.
- Developed forecasting methodology to predict incremental spend at card member level.
- Developed Customer segmentation methodology for cross border payment facility
- Marketing Campaign ROI tracking for X-Sell, Retention and Spend Engagement initiatives.
Lead Analyst
WNS+INFOSYS
07.2016 - 11.2017
- Designing, Executing Marketing Campaigns.
- Retention, Cross-Sell, Acquisition Campaigns for Banking & clients.
- Create Codes for automatic sanity checks using SAS and Unica.
Associate
EVALUESERVE
05.2014 - 06.2016
- Created data sets for advanced analytics team to build models on SAS.
- Prepared reports, presentations and insights on customer behaviour and historical transactions.
- Created data cleansing for large data sets and sanity check codes
Education
Master of Technology - Chemical Engineering
Delhi
Delhi05-2014
Skills
- Credit risk analysis
- Critical thinking
- Team management and development
- Credit risk analysis
- Critical thinking
- Team management and development
Languages
English (Fluent), Hindi (Fluent)
References
To Be Shared on Request
Languages
Hindi
First Language
English
Proficient (C2)
C2
Timeline
Gurugram
KPMG - Risk Advisory Services
07.2023 - Current
Senior Manager
American Express
09.2022 - 06.2023
Manager
PWC
08.2021 - 09.2022
Associate VP
BARCLAYS
07.2019 - 08.2021
AM
American Express
12.2017 - 07.2019
Lead Analyst
WNS+INFOSYS
07.2016 - 11.2017
Associate
EVALUESERVE
05.2014 - 06.2016
Master of Technology - Chemical Engineering
Delhi
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