Saurabh Jain

Consultant, KPMG India

• Enhanced IRRBB framework of bank and performed GAP analysis, Developed EUC Tool (Model) for IRRBB assessment and provided training to bank etc.
• Developed Behavioural analysis model for Loan (Conditional prepayment rates), Term Deposit (TDRR) and deposit products which includes model such as Moving average, daily volatility, Holt-winters, Liner regression.
• Performed Enhancement of bank’s ILAAP framework, Developed ILAAP tool/Model for ILAAP assessment. Defined Stress testing scenarios for SLS stress testing, LCR and NSFR, Modeled outflows/inflows in SLS, Compute liquidity ratios, defined Risk appetite parameters and run off rates based on historical and statistical analysis.
• Develop Liquidity Contingency Funding and recovery plan for bank which involves defining Early warning indicators, stress scenarios, activation, and communication plan of CFP.
• Enhanced FTP framework of Bank by performing GAP analysis and Constructued COF and VOF curves.

Manager, ICICI Bank, Mumbai

• LIBOR transition Audit: - Valuation of derivatives, PV01, VaR and Rate band computation based on new Alternative risk free rates (ARFR) for interest rate products (Interest Rate Swaps, Currency swaps)
• Market Risk Audit: - Valuation of Fixed income products, Rate Band Computation for derivatives and Fixed Income Valuation, Interest Rate Risk in banking book (IRRBB), Compliance with the guidelines issued by RBI.
• Credit Risk Management Group (CRMG): - Review of Ratings based on RAM model for various borrowers, Ratings based on Spreadsheet based models for Domestic Bank, Small Finance Bank, Foreign Banks, PTC (Securitization) etc. Review of Asset under watch (AUW) process, collation of Internal rating and Unhedged Foreign Currency Exposure (UFCE) Provisioning.
• Basel 3: - Verification of Pillar 2A and Pillar 2B (ICAAP) review and compliance with guidelines issued by PRA.
• ICICI Bank Canada Ltd: - Reviewed Liquidity Risk, IRRBB and Market risk framework and ensured that same in line with OSFI guidelines.

Work with organization which can provide with dynamic work atmosphere that nourish my professional skills and achieve the objectives of organization and also to attain my career targets.

ICICI Bank and its overseas branches and subsidiaries (UK and Canada), TBC Bank, Terabank, AFRIEXIM Bank 

• Awarded as Star performer 2022 by ICICI Bank for contribution in RBAP preparation.
• Awarded as “Consistent Performer’’ during Articleship in 2016 by M/s Shah Mehta Majumdar, Chartered Accountants.