Sandeep Kumar Baranwal

• Assist Directors and Partners in performing time, resource, and revenue planning; preparation of Request for Proposal (RFP) documentation; project scoping; and project margin management.
• Currently leading the creation of RBI Comprehensive Supervisory Manual documentation with a focus on Stress Testing, Earnings, Capital Adequacy, Data Governance, Liquidity Risk, and Interest Rate Risk in the Banking Book (IRRBB).

• Worked on an Application Scorecard model development exercise by handling unbalanced data, using WoE based logistic regression using Python for Shubham Financials Inc, using the loan application data of approved loans.
• Worked as a member of the FAB Bank (Abu Dhabi) internal audit team for the audit of the IFRS9 ECL compliant Non-Retail Model, covering RiskCalc LGD Model and PiT PD Model development and validation work for Construction, Real-Estate and Manufacturing segment, as well as the related governance framework, including model development and validation guidelines, in accordance with CBUAE MMG and MMS policy prescriptions.
• Worked as a senior analytics advisor in assessing the process efficiency of the existing India Risk team under the GCC setup of a top US bank, vis-à-vis industry peers, and providing recommendations for streamlining the organisational structure in accordance with industry standards.
• Assisted Directors and Partners in performing time, resource, and revenue planning; preparation of inter-office memoranda; RFP documentation; project scoping; project margin management; and invoicing.
• Assisted the EY-IN resource team in conducting interviews and training in the credit risk domain.
• Liaisoned with EY counterparts – EY-Middle East, EY-Thai, EY-Swiss, and EY-UK – and keep track of updates on their client expectations, project deliverables, and compliance metrics, and contribute to engagement enrichment and expansion wherever applicable.
• Worked as a Senior Engagement Manager – Risk Consulting and has led the following engagements:

IFRS9 ECL Model Development and ECL Reporting:

• Led a team of 2 professionals for the development of the SME Bank IFRS9 PD Model using the Kafalah benchmark and ECL framework for ECL reporting as of December 31, 2024 for the SME-Agency, SME-Co-Financing, SME-Low Cost, and SDB-Low Cost portfolios, and assisted the SME Bank in their audit, financial reporting, and preparation of the credit note.

Model External Audit Engagements:

• Led a team of six professionals to perform the UBS IFRS 9 audit review of the ECL documentation.
• Led a team of three professionals to perform an AUB IFRS 9 audit review, covering qualitative, quantitative, and ECL sample testing.
• Led a team of three professionals to perform the SCB IFRS9 audit review, covering desktop review, model assumption testing, and model performance testing of the India – BC MG portfolio.
• Led a team of two professionals to perform the ABC IFRS 9 audit review, covering qualitative, quantitative, and ECL sample testing.

Model Validation Engagement:

• Led a team of three professionals to validate the Digital Customer Metrics (DCM) score model for KTB Bank, Thailand.

• Worked as 2nd Vice-President under the First Line of Defence, supporting Model/QEs Development, Redevelopment, Recalibration, and Monitoring of the existing PPNR, Credit Risk – PD, and LGD Models by performing Qualitative Reviews and Validation of the Model/Monitoring deliverable package worked upon by 11 professionals (onshore and offshore combined), and provided sign-offs for kicking off Model Validation.
• Performed data review, code review, process review, and documentation and governance review and validation for each model deliverable package across Basel, Credit Risk - CCAR and CECL, Spreads and Securities, and PPNR, covering Model/QE - new development, redevelopment, recalibration, and Model/QE monitoring.
• Performed a review of 80 models/QEs delivery packages out of 143 models/QEs in 2021–22.
• Performed a review of 112 models/QEs delivery package, out of 146 models/QEs, in 2022–23.
• Performed monitoring of Moody's CreditLens-based wholesale models such as Broker-Dealer PD model, Sovereign PD model, Private PD model, and Public PD model.
• Participated in the Business Intuitive and Macroeconomic Variable (BIMI) Intuition discussion.
• Participated in the Working Group Meeting and CRQD Approval Committee meeting for model discussion and its approval.
• Custodian of Model/QE Development Lifecycle Framework with a prime focus on the Model Testing and Model Retirement framework, and liaison with Model Owners to keep track of changes in plan for assumption testing designs and monitoring plan threshold limits.
• Provided qualitative review-based sign-offs for the closure of L1, L2, and L3 'Corrective Action Plans' reported by the Validation team on the existing models.
• Performed documentation and code review for Model Implementation pertaining to Credit Implementation, Spreads Model category implementation, and PPNR Model Implementation, and provided sign-offs.
• Conducted training on Northern Trust’s proprietary modelling and monitoring tool for the new hire and campus hire.

• Worked with the business analytics team and single-handedly performed the Annual Model Review (AMR) validation, Change Addendum model validation, and undertook a model redevelopment exercise covering Cross-Sell models, Retention models, and Deepening models for business banking products - CASA, Credit Card, Term Loan, Personal Loan, Home Loan and Overdraft facility, covering GCNA – Hong Kong, AME – Ghana, and ASA – India and Singapore regions, using the SAS-EG and Python analytics tools, and the DATAROBOT machine learning platform.
• Assisted the retail banking business analytics team in ensuring the timely completion of the model redevelopment and validation exercise.
• Worked with the business analytics data team to standardise over 3,000 variables, their descriptions, and related SAS codes and logic across different regions and countries.
• Involved in the process of tracking and maintaining accounts for model monetisation for the GCNA region on a monthly basis.
• Performed employee-banking-based bonus analysis to identify opportunities for cross-selling banking products, and deepening existing relationships for Hong Kong.

Model Development Experience:

• HKD Term Deposit (TD) Price Sensitivity Model – Hong Kong Retail Portfolio – Standard Chartered Bank – 6 months
• CNY/RMB Term Deposit (TD) Price Sensitivity Model – Hong Kong Retail Portfolio – Standard Chartered Bank – 3 months
• Hong Kong – Retail Portfolio BANCA Insurance Model for Critical Illness and Hospital Insurance Product – 4 months

Model Re-development and Validation Experience:

• Retail Banking & Business Banking Cross-Sell | Retention | Deepening Model – Banking Product – CASA | GIL/BIL | Credit Card | FX | Term Deposit – Standard Chartered Bank Portfolio – 6 months

• Worked with the credit risk model development team and was involved in a project related to the development of a logistic regression-based PD – Behavioural Scorecard model for the retail portfolio of a top UK bank, with specialisation in SAS analytics – SAS EG and SAS Macro.
• Led a team of 17 professionals that was involved in the model validation of PPNR & Credit Risk Model - PD models using SAS EG & SAS Macro, and covered validation exercises for 300+ models, including the preparation of model validation documents, for a top US bank. Under this role, the main responsibilities included covering different stages of model validation in a timely fashion, management reporting, task allocation, follow-up with different stakeholders, and escalation of issues related to meeting deadlines.
• Provided assistance to the credit-risk IVU team in developing metrics to help the client understand the model continuum, covering 80 model development documents.
• Provided assistance to the onshore model governance and validation team by keeping them informed about the various stages through which the model validation process passed.
• Involved in the valuation project related to the valuation of credit derivatives using the company standard template, Super Derivatives, and Bloomberg Terminal.
• Worked on process-control testing project for State Street Bank as First-Line-of-Defence and conducted process walkthrough session involving Senior Management of the bank, evaluated existing controls related to onboarding documentation, Fees & Billing operations, and existence of executed contract between the bank and the client, and prepared control design assessment framework.
• Provided support to the talent team by conducting research on determining possible use cases, and identifying potential vendors to develop resilient operations capability within Deloitte-USI.

Model Development Experience:

• Credit PD Behavioral Scorecard Model for Personal Loan – Retail Portfolio – CYBG Bank – 1.6 Year

Model Validation Experience:

• PPNR Model Validation – Technical Validation and Report generation – Citi Bank – 8 months

• Worked with the Wells Fargo bank process credit risk team of Genpact, Gurgaon, and covered Credit Risk Model – PD, LGD, and EAD Basel parameters, with specialization in SAS analytics – BASE SAS, SAS EG, and SAS Macro – and its integration with UNIX and MS Excel, including VBA, VLOOKUP, HLOOKUP, and PIVOT Tables, and was involved in projects that included:
• Estimation and validation of 'Loss Given Default' and 'Exposure at Default' for Wells Fargo Bank, Commercial Credit portfolio.
• Reconciliation of net-charge-off figures across the CCAST database and the old database.
• Preparation of a deck for the Quarterly Monitoring Report for 'LGD & EAD', and their performance based on different lines of business, collateral types, and BQR segments.
• Preparation of a 'Waterfall Diagram' to facilitate understanding of the process flow for developing models, 'EAD and LGD'.
• Reporting and analysis of trends and patterns of count-weighted and dollar-weighted default rates for Wells Fargo defaulted obligors, with and without PCI marks, to account for the contribution of converted obligors in the default rate.
• Development of SAS code for estimating the 'Population Stability Index' (PSI) based on BQR and CQR ratings, to test the stability of the methodology for estimating 'Loss Given Default' and 'Exposure at Default', and to recommend the need for introducing changes in the SAS code for the same.
• Identification of the defaulted obligors that were extended credit post-default in expectation of reviving lost agility, bringing profitable business that would help the bank to recover, thus ensuring that 'Loss Given Default' remains range-bound.
• Preparation of the report on Fixed Horizon Approach, Moving Average Approach, OLS regression analysis of 'Exposure at Default (EAD)', and subsequent backtesting and validation of the EAD model using SAS.
• Preparation of the report on LGD back-testing and validation of the LGD model using SAS.
• Participated in a training programme at Genpact with specialisation in MS Access 2010, Basic, and Base SAS 9.3.

Model Development Experience:

• LGD – estimation and Model Development – 2.0 Years
• EAD – estimation using Fixed Horizon Approach, Moving Average Approach and OLS regression model – 1 Year
• PD – Model Development using Logistic Regression – 5 months

Model Validation and Monitoring Experience:

• LGD Back-testing and Quarterly monitoring
• EAD Back-testing and Quarterly monitoring

• Attended the strategic meeting with the regulators, including Federal Reserve and Office of Comptroller of the Currency.
• Preparation of a report proposing an appropriate recommended LEQ (EAD) rate across different Collateral Groups.

• Worked as Junior Economist at First Global Securities Ltd Corporate Office at Vashi, Navi Mumbai with specialization in Indian Economy and involved in the process of bringing analytical “Weekly, Monthly, Quarterly and Annual Macroeconomic Updates and forecasts relating to Indian Economy”-GDP, Monetary Policy, Public Finance, IIP, Inflation, BoP and Forex reserves

• Worked as an intern at Capital Metrics and Risk Solutions Pvt Ltd on the topic “Macroeconomics and Quantitative Financial Research and Analysis,” covering RBI economic research on the India property bubble, Capital Asset Pricing Model, and Black-Scholes Option Pricing Model.

• Worked as an intern at Canara Bank on the topic 'Kisan Credit Card Scheme'.