Sunny Ahuja
IT BA Counterparty Credit Risk
Pune
Summary
14+ years of experience in full project SDLC based Business Analysis, requirements gathering, design, development, support and management of Global Market Risk, Credit risk and counterparty credit risk, Regulatory Reporting Systems to meet the Basel Requirements covering all asset classes and products across various global regions using the technology platforms.
Overview
16
16
years of professional experience
Work History
IT Business Analysis – Counterparty Credit Risk/ Expected Loss
Citicorp Finance
12.2021 - Current
- Leading the team of 5 BA’s in Optima to manage Basel III and B3E (Basel IV) initiatives focused on counterparty credit risk for derivatives and Securities Financing Transactions (SFT) across US entity.
- Part of the team responsible for the implementation of SA-CVA and BA-CVA, including defining risk factor buckets and calculating Delta and Vega sensitivity charges for the bank’s positions.
- Hands-on experience in VaR add-on calculations for Securities Financial Transactions (SFTs) under the Advanced Approach, optimizing risk measurement and ensuring regulatory compliance.
- Conducted Expected Loss (EL) calculations under stress testing for wholesale loans and the derivatives trading book (CVA), assessing the impact of stressed PD, LGD, and EAD on risk exposure and regulatory compliance.
- DSFT Framework Initiatives: Lead initiatives on the DSFT (Derivative and security financing transactions) framework, focusing on the calculation of Margin Period of Risk (MPOR) and CVA (Credit Valuation Adjustment) volatility charge calculation engines for USCON and EMEA entities.
- Reviewed Risk & Finance model parameters for counterparty credit risk including PD, LGD, EAD, collateral, Exposures etc.
- Vendor Management, Business Requirements, Test Management and Stakeholder coordination in addition to PM functions of planning, tracking and reporting.
- Collaborate with RWA controllers, MRM (model risk management), BIS (Basel interpretative group) RCPG (Regulatory capital policy group) teams to analyze and enhance risk management frameworks and processes ensure compliance with Basel III and B3E regulatory guidelines.
- RWA Calculation Engine change Management: lead the change management of the risk-weighted asset (RWA) calculation engine, ensuring compliance with SA-CCR rules across OTC derivative products. This includes integrating advanced (Internal Model) methodologies to optimize risk assessment and reporting accuracy.
- OCC MRA and MRIA Management: Play very pivotal role in various Matters Requiring Attention (MRA) and Matters Requiring Immediate Attention (MRIA) and associated Data Concerns Remediation Management (DCRM) initiatives, ensuring timely and effective responses to regulatory and audit findings the LOD 2 and LOD 1.
- Guiding the team in the Analysis of Variances observed in the EAD / RWA numbers across counterparty credit risk method (collateral haircut approach and SACCR).
- CCAR project to simulate EAD/RWA numbers for OTC and SFT through 15 quarters, applying stress to parameters such as liquidity and DSFT concentration, Delivered comprehensive analysis under 3 Federal Reserve scenarios (base, severe, severely adverse) plus 2 internal bank scenarios to assess risk.
- Managed data lineage and compliance issues, leading successful resolutions for MRAs and MRIAs tied to data accuracy and integrity.
ASSISTANT VICE PRESIDENT
BARCLAYS GLOBAL SOLUTION CENTRE
03.2020 - 12.2021
- Calculator for Counterparty Credit Risk.
- Business Analyst for Counterparty Credit Risk team. Worked on IMM and SA-CCR change requirements.
- SACCR EAD, RC, PFE calculation for the following Asset Classes. (Interest Rate Derivatives, FX Derivatives, Credit Derivatives, Equity Derivatives and Commodity Derivatives).
- IMM: EE, EEE, EEPE and EAD calculation.
- Specific Wrong way risk calculation for Single Named CDS, Single named Equity, Indices (Equity and Credit) for Served (IMM) and Un-served (SACCR) Trades.
LEAD BUSINESS ANALYST
Societe Generale
07.2018 - 03.2020
- Work with Product Owner and the team to create backlog; prioritize and assign complexity points to the user stories based on its business value and ROI.
- Participate in project management including defining scope, planning of deliverables, coordination with cross-functional teams, estimation SDLC process and delivery.
- Working in Model and Methodologies team for Regulatory driven Model enhancements for different Market Risk measures - VAR /Stress VAR/IRC.
- Implemented Stressed VaR (SVaR) calculations in accordance with Basel 2.5 regulatory changes, enhancing risk management by capturing extreme market conditions and improving capital adequacy assessment accuracy of VAR and removed the capital buffer.
- Mentor BAs to build functional knowledge and business analysis skills in the team.
Senior Business Functional Analyst
Deutsche Bank (DBOI)
09.2011 - 04.2018
- CHANGE MANAGEMENT: Worked on RTB (Run the Bank) tactical solution to strategic CTB (Change the Bank) - executed change by partnering with senior stakeholders.
- REFERENCE DATA - Developing MDM solutions Security Reference Data Master (Security Master/Pricing/Corp Actions/Issuer Data) - Data Governance/Data Quality/Golden Copy Creation/Work Flows/User Interface.
- Significant exposure to key reference data vendors such Bloomberg, Reuters, Interactive Data and Standard & Poor’s, Fidelity and Swaps Monitor.
- Involved in Legacy Modernization of MDM, Business Analytics and Regulatory Reporting. Adept at Waterfall and Agile methodologies. Use cases, preparing mapping documents.
- Excellent working experience on GoldenSource Data model including the set-up of – Equities, Fixed Income and Listed Derivatives.
- Led the Exchange Alignment Project to ensure accurate mapping of exchange identifiers, mitigating data quality issues across bank systems. This initiative supported uninterrupted trading, risk calculation, liquidity management, treasury, and settlement operations.
- MIFID II,EMIR – Manage the enhancement of the Derivative Regulation product to comply with the reporting requirements for all physical and OTC trades and conform to the Dodd-Frank; EMIR(Transaction reporting, Initial Margins), MiFID II(OTC instrument database, ISIN assignment, Transaction reporting, SI calculations), and CSA regulations.
- Created 74 OTC derivative templates with ANNA DSB in order to assign ISINs, CFI on in scope instruments for trading to meet regulatory MIFID II requirement.
- SI indicator calculation as described in MIFID II regulations, Handled change management and Requirement to calculate SI indicator through ESMA provided information.
- REMEDIATION – Involved in remediation/gap analysis of in scope MIFID II attributes for Pre and post trade reporting, Transaction reporting and reference data attributes.
- Liaise with Reuter and Bloomberg in case of instrument (Equity, Fixed Income, derivative) coverage gap at their end.
- Liquidity Projects- Worked on LCR requirements related application of haircuts, classifying instruments as HQLA non HQLA on various asset classes, EQUITY, FIXED income for treasury dept. of the Bank.
Managing Kotak Securities Franchisee
Kotak Securities
10.2009 - 07.2011
- Managing Kotak Securities Franchisee, specifically to obtain the experience of Managing HNI Portfolio, Daily Reports Analysis of Data related to the Research activities across various asset classes and other supporting activities.
Education
CFA –Level- II Pass - Finance
CFA Institute
Bachelor of Science - Finance
ICFAI University
07.2008
BBA - Accounts
Amravati University
03.2008
Skills
Timeline
IT Business Analysis – Counterparty Credit Risk/ Expected Loss
Citicorp Finance
12.2021 - Current
ASSISTANT VICE PRESIDENT
BARCLAYS GLOBAL SOLUTION CENTRE
03.2020 - 12.2021
LEAD BUSINESS ANALYST
Societe Generale
07.2018 - 03.2020
Senior Business Functional Analyst
Deutsche Bank (DBOI)
09.2011 - 04.2018
Managing Kotak Securities Franchisee
Kotak Securities
10.2009 - 07.2011
CFA –Level- II Pass - Finance
CFA Institute
Bachelor of Science - Finance
ICFAI University
BBA - Accounts
Amravati University
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