Vamsy Sastry

Led a 3-member team to develop an early warning system (EWS) for bad loans in the corporate book for the largest bank in Saudi Arabia leveraging transactional, behavioral, operational and third-party news data.
The objective was to predict delinquencies well in advance in comparison to the regular PD models.
The solution was developed leveraging R and Python.
Computed impact of COVID on the capital adequacy and risk charge of a leading Saudi Bank as a part of SAMA’s (Saudi Arabia Monetary Authority) stress testing guidelines and its prescribed macroeconomic scenarios
Developed loss forecasting models for the Auto securitization and Receivables portfolios and Risk rating scorecards for the Corporate and the Banks book (Low default portfolios) for a leading bank in the middle east.
Conducted an end-to-end validation of the models used in risk rating and IFRS9 for the entire banking book (Corporate and Retail) for one of the largest lenders in Oman.
Led a 6-member team to complete the annual stress testing exercise for one of the largest global banks in UAE.
Tasks included development of macroeconomic models, model calibration, computation of ECL’s and CAR ratios under baseline and adverse scenario’s and presentation of results to the leadership of the bank and the Central Bank of UAE
Reviewed ECL computation methodology for multiple banks and regulators as a part of their annual IFRS9 review
Represented Deloitte in multiple discussions with the regulator (Central Bank of UAE, Central Bank of Oman, Saudi Arabia Monetary Authority) for Stress testing and IFRS9 related engagements

Led a 3-member team to develop an early warning system (EWS) for bad loans in the corporate book for the largest bank in Saudi Arabia leveraging transactional, behavioral, operational and third-party news data. The objective was to predict delinquencies well in advance in comparison to the regular PD models. The solution was developed leveraging R and Python.
Computed impact of COVID on the capital adequacy and risk charge of a leading Saudi Bank as a part of SAMA’s (Saudi Arabia Monetary Authority) stress testing guidelines and its prescribed macroeconomic scenarios
Developed loss forecasting models for the Auto securitization and Receivables portfolios and Risk rating scorecards for the Corporate and the Banks book (Low default portfolios) for a leading bank in the middle east.
Conducted an end-to-end validation of the models used in risk rating and IFRS9 for the entire banking book (Corporate and Retail) for one of the largest lenders in Oman.
Led a 6-member team to complete the annual stress testing exercise for one of the largest global banks in UAE. Tasks included development of macroeconomic models, model calibration, computation of ECL’s and CAR ratios under baseline and adverse scenario’s and presentation of results to the leadership of the bank and the Central Bank of UAE
Reviewed ECL computation methodology for multiple banks and regulators as a part of their annual IFRS9 review
Represented Deloitte in multiple discussions with the regulator (Central Bank of UAE, Central Bank of Oman, Saudi Arabia Monetary Authority) for Stress testing and IFRS9 related engagements

Worked on Development, Recalibration, Implementation & Monitoring of PD, EAD and LGD models used in IFRS9 and Credit Scoring for the Retail portfolio
Conducting workshops, negotiations and presentations to the HO and the regional CXO level with regards to Risk Rating Scorecards, IFRS9 and Model Inventory management while ensuring adherence to the regional and global regulatory guidelines
Conducted Geo spatial analysis using R on the bank’s mortgage and credit card customers to identify relationships between the location of the customer and their credit quality deterioration
Responsible for Quarterly and Annual regulatory submissions to CBUAE and Other regional regulators on Pillar 1, IFRS9, ICAAP and Annual Reports for the bank’s retail portfolio.

Development of traditional time series and error correction models in R for stress testing different product portfolios in the annual bank wide stress testing exercise
Conducted validations of both retail and corporate models used in stress testing for data quality, capital adequacy, forecast accuracy and stationarity of predictions

Refreshed the PD, EAD and LGD model validation frameworks to be used across the globe and across portfolios for assessment for model health, performance and compliance with local and global regulations
Validation and monitoring of all models operating in the EU region, which is one of the most material regions of HSBC in terms of exposure
Conducted a performance review of AIRB models and its impact pre and post Brexit

Conducted quarterly monitoring and annual validation exercises of 80+ PD, LGD and EAD models across the Wholesale banking and markets portfolio.
Constantly improved efficiency through streamlining, rationalizing and automating standard reports relating to model monitoring, RWA computation and model usage

Worked with a leading Australian bank to understand the health of their 60 plus AIRB model portfolio and identify key KPI’s for performance.
This helped them identify that close to 40% of their existing models needed immediate rebuilding or recalibration.
Work profile involved leading a team of 7.
Developed multiple application and behavioral scorecards for the biggest bank in Australia.
Also, other projects undertaken include price sensitivity analysis, LTV measurement.
Participated as a recruiter in Mu Sigma recruitment drives at 14+ universities in the country

Worked on Development, Recalibration, Implementation & Monitoring of PD, EAD and LGD models used in IFRS9 and Credit Scoring for the Retail portfolio
Conducting workshops, negotiations and presentations to the HO and the regional CXO level with regards to Risk Rating Scorecards, IFRS9 and Model Inventory management while ensuring adherence to the regional and global regulatory guidelines
Conducted Geo spatial analysis using R on the bank’s mortgage and credit card customers to identify relationships between the location of the customer and their credit quality deterioration
Responsible for Quarterly and Annual regulatory submissions to CBUAE and Other regional regulators on Pillar 1, IFRS9, ICAAP and Annual Reports for the bank’s retail portfolio.

Development of traditional time series and error correction models in R for stress testing different product portfolios in the annual bank wide stress testing exercise
Conducted validations of both retail and corporate models used in stress testing for data quality, capital adequacy, forecast accuracy and stationarity of predictions

Refreshed the PD, EAD and LGD model validation frameworks to be used across the globe and across portfolios for assessment for model health, performance and compliance with local and global regulations
Validation and monitoring of all models operating in the EU region, which is one of the most material regions of HSBC in terms of exposure
Conducted a performance review of AIRB models and its impact pre and post Brexit

Conducted quarterly monitoring and annual validation exercises of 80+ PD, LGD and EAD models across the Wholesale banking and markets portfolio.
Constantly improved efficiency through streamlining, rationalizing and automating standard reports relating to model monitoring, RWA computation and model usage

Worked with a leading Australian bank to understand the health of their 60 plus AIRB model portfolio and identify key KPI’s for performance. This helped them identify that close to 40% of their existing models needed immediate rebuilding or recalibration. Work profile involved leading a team of 7.
Developed multiple application and behavioral scorecards for the biggest bank in Australia. Also, other projects undertaken include price sensitivity analysis, LTV measurement.
Participated as a recruiter in Mu Sigma recruitment drives at 14+ universities in the country

Responsible for Business Development, Team management, Budgeting and Delivery of key engagements some of which include,

Development of an early warning system (EWS) for bad loans in the corporate book for one of the largest bank in Saudi Arabia leveraging transactional, behavioral, operational and third-party news data. The objective was to predict delinquencies well in advance in comparison to the regular PD models. The solution was developed leveraging R and Python.

Computed impact of COVID and its prescribed macroeconomic impact on the bank’s capital adequacy and risk charge as a part of SAMA’s (Saudi Arabia Monetary Authority) stress testing guidelines

Developed loss forecasting models for the Auto securitization and Receivables portfolios and Risk rating scorecards for the Corporate and the Banks book (Low default portfolios) for a leading bank in the middle east.

Conducted an end to end validation of the models used in risk rating and IFRS9 for the entire banking book (Corporate and Retail) for one of the largest lenders in Oman.

Completed the annual stress testing exercise for one of the largest global banks in the region. Tasks included development of macroeconomic models, model calibration, computation of ECL’s and CAR ratios under baseline and adverse scenario’s and presentation of results to the leadership of the bank and the Central Bank of UAE

Reviewed ECL computation methodology for multiple banks and regulators as a part of their annual IFRS9 review

Represented Deloitte in multiple discussions with the regulators (Central Bank of UAE, Central Bank of Oman, Saudi Arabia Monetary Authority) for Stress testing and IFRS9 related engagements

Conducting workshops , negotiations and presentations to the HO and the regional CXO level with regards to Risk Rating Scorecards , IFRS9 and Model Inventory management while ensuring adherence to the regional and global regulatory guidelines

Setting up a team to take up IFRS9 implementation and maintenance (scorecards and regulatory submissions) and Model Risk Monitoring

Working with the risk analytics unit for Mashreq

Development, Validation, Implementation &
Monitoring of PD , EAD and LGD models across Credit Risk and IFRS9

Development of traditional time series and error correction models in R for stress testing different product portfolios in the annual bank wide stress testing exercise for 2018.

Conducted validations of both retail and corporate models used in stress testing for data quality, capital adequacy , forecast accuracy and stationarity of predictions

Designed and deployed using R geo spatial heat maps for better risk decisioning of the banks mortgage portfolio.

Successfully streamlined and automated regulatory submissions across pillar 1 , pillar 2 and IFRS9 using a combination of R , SAS and VBA to ensure end to end automation.

Compliance & Regulation - IFRS9, ICAAP & Pillar 1 and Central Bank of UAE

Region Supported: UAE, Qatar, Egypt, Bahrain

Completed the annual revision of global model validation standards for AIRB models in PD , LGD and EAD domains
Helped in recalibration and deployment of new models
Estimated the impact of Brexit on the UK portfolio and its constituent models. Work included evaluating change in capital requirements and model performance pre and post brexit
Organised training of new team members on conducting validations and model performance monitoring
Helped in streamlining and automation of existing processes for faster data extraction and generation of reports
Assignment involved the development of the regional LGD model. Tasks among others included default data preparation, computation of ead and lgd in compliance with local and global regulations and challenging the existing model and developed models based on global model validation protocols.
Model Performance Monitoring - Monitoring and Validation of Models across PD , LGD and EAD models built using expert judgement or statistical methods.
Tests are done on inputs , usage , implementation etc to deduce model performance and generate recommendations

- Campaign analytics - Creation of a standardized framework to assess, evaluate and action upon BTL campaigns across LOB's and Brands for a leading insurance firm
Responsibility - Offshore Lead
- Lifetime Value Computation - Worked on creation of a framework to understand what defines member value and segmentation of existing member base
Responsibility - Offshore Lead
- Propensity modeling - Created a model to understand the drivers of a member to take up a product followed by segmentation and profiling of the member base
Responsibility - Offshore Lead
- Attrition Analysis -Worked on an attrition model to understand what are the drivers of attrition and later use the same to predict and potentially reduce the number of people attriting for a leading US business
Responsibility - Offshore Lead
- Price Sensitivity Analysis - Extensive study of product pricing to determine what is the optimum price for a product and how much do customers react to price changes.
Responsibility - Offshore Lead
- Optimization of Delivery Frequency - Understanding health of the logistics division of a leading retailer and then determination of the optimum delivery frequency to stores
Responsibility - Offshore lead
-Assets Management - Worked on creating a model monitoring framework for a leading Australian bank which evaluated all models by using statistical tests , built across multiple platforms like SAS , KXEN etc and sent out a health report featuring which models needed to be rebuilt or recalibrated. The package also included a front end dashboard to showcase all the heath metrics for a model
Responsibility - Offshore lead
-Propensity Model - Created a propensity model for a leading Australian bank which computed a customers probability to take up a cross sell savings product.
Responsibility - Offshore analyst
-Data mart Creation - Was part of a team which created a data mart built for rapid model building and deployment for deposits and transactions on Teradata
Responsibility - Offshore analyst
-Campaign analysis - Was part of a team which analyzed campaigns and generated lift curves for a leading Australian retailer
Responsibility - Offshore analyst