AM/Manager - Basel Modeler

- Key focus areas: BASEL II Regulatory compliant Models & Capital Calculation Framework, Credit Risk, Behavioral modeling, Segmentation & Clustering, Customer analytics & Scorecard development.

- Establish the BASEL II Capital Calculation Framework for American Express International Consumer Cards & Small Business Services (ICSS) portfolio.

- Incorporate Regulators feedback and developed BASEL II compliant models for PD, EAD & LGD at Account Level.

- Plan, execute, and successfully complete end-to-end through the cycle model delivery ranging from data creation to the final implementation support & documentation for an entire portfolio.

- The entire spectrum of work has been implemented in the production environment and is due for an External Parallel Run post regulatory review.

- Develop BASEL II compliant models for PD (Probability of Default), EAD (exposure at default) & LGD (loss at given default) for Regulatory Requirements using various statistical techniques e.g. Logistic/Linear Regression, Clustering, Segmentation, Correlation analysis etc.

- Critically involved in project scoping, metrics finalization, data requirement, and portfolio segmentation to ascertain the optimal suite of models.

- Enhance model efficiency by introducing improved variable logics and new index variables.

- Collaborate with multiple stakeholders including technologies, business and validation teams to achieve timely implementation on American Express systems.

- Analyze and incorporated effect of the macroeconomic impact of business cycles on portfolios across the globe in PD models.

Contact at komita@nacreoutsourcing.com