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Smart individual with the problem solving skills
Varun Khandelwal
,
London, United Kingdom
Experience
Other titles
Skills
I'm offering
Dynamic and proficient in his work and always strives to go on extra mile to get things done. Have worked in several geographies and has excellent communication skills.
Markets
United Kingdom
Links for more
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Language
English
Fluently
Ready for
Larger project
Ongoing relation / part-time
Available
My experience
2017 - ?
job
Manager
Ernst & Young (India).
London, Dubai, Bahrain, Kuwait and India
* Have led and worked on several IFRS 9 engagements for the Middle-Eastern Banks. Worked across several work-streams, including IFRS 9 model development, quantitative and qualitative validation of models, policies and procedures, and supporting Audit team for their reviews.
* Have expertise in various statistical techniques used for the conversion of TTC to PIT PD, ranging from simple linear regression, survival analysis, ARIMA based models. Well versed with Vasicek framework which is widely used for the PD conversion.
* Determining the Credit Cycle Index to analyze the current state of the economy by linking the observed default rate and the relevant macro-economic variables and generate the term structures using the mean reversion.
* Carried out sensitivity and scenario analysis for the macroeconomic variables to analyze the impact on the portfolio
* Designed methodologies to identify the credit deterioration criteria based on combinations of multiple credit risk indicators to optimize stage allocation and defining the SICR (Significant Increase in Credit Risk) criteria for the Bank based on the analysis
* Developed IFRS 9 policies and procedures for various Banks.
* Socializing with the Bank and its subsidiaries, and helped them in understanding the key areas of technical interpretation under IFRS 9 Standard.
* Carried out calibration of Bank's internal rating scale based on the historical default rate.
* Has assisted Audit in reviewing the Moody's Corporate models (PD/LGD) and methodologies covering model design and parameters, calibration and performance of the models. Highlighted the observations in the assessment report, along with the impact.
* Conducted UAT to assess the Impairment solution taken by the Bank.
Model Validation Location: Bangalore
* Have led and worked for a US based cards loyalty and marketing service provider company. Validated mix of marketing, underwriting, screening, collections and fraud models.
* These models were developed using data driven advanced statistical techniques like Gamma, linear, logistic, CHAID etc.
* Was responsible for reviewing methodology document, running SAS codes to match the documented results, model monitoring, carrying out additional analysis to demonstrate the impact of findings. Then raising and discussing findings with the model developers.
* Have led and worked on several IFRS 9 engagements for the Middle-Eastern Banks. Worked across several work-streams, including IFRS 9 model development, quantitative and qualitative validation of models, policies and procedures, and supporting Audit team for their reviews.
* Have expertise in various statistical techniques used for the conversion of TTC to PIT PD, ranging from simple linear regression, survival analysis, ARIMA based models. Well versed with Vasicek framework which is widely used for the PD conversion.
* Determining the Credit Cycle Index to analyze the current state of the economy by linking the observed default rate and the relevant macro-economic variables and generate the term structures using the mean reversion.
* Carried out sensitivity and scenario analysis for the macroeconomic variables to analyze the impact on the portfolio
* Designed methodologies to identify the credit deterioration criteria based on combinations of multiple credit risk indicators to optimize stage allocation and defining the SICR (Significant Increase in Credit Risk) criteria for the Bank based on the analysis
* Developed IFRS 9 policies and procedures for various Banks.
* Socializing with the Bank and its subsidiaries, and helped them in understanding the key areas of technical interpretation under IFRS 9 Standard.
* Carried out calibration of Bank's internal rating scale based on the historical default rate.
* Has assisted Audit in reviewing the Moody's Corporate models (PD/LGD) and methodologies covering model design and parameters, calibration and performance of the models. Highlighted the observations in the assessment report, along with the impact.
* Conducted UAT to assess the Impairment solution taken by the Bank.
Model Validation Location: Bangalore
* Have led and worked for a US based cards loyalty and marketing service provider company. Validated mix of marketing, underwriting, screening, collections and fraud models.
* These models were developed using data driven advanced statistical techniques like Gamma, linear, logistic, CHAID etc.
* Was responsible for reviewing methodology document, running SAS codes to match the documented results, model monitoring, carrying out additional analysis to demonstrate the impact of findings. Then raising and discussing findings with the model developers.
Marketing, Design, SAS, Service, Monitoring, Development, Assessment, Audit, Underwriting, Framework, Manager, LED
2015 - 2017
freelance
Consultant
Aptivaa Consulting.
Development of Var and Economic Capital Location: Mumbai
* Developed sector specific macroeconomic model for a bank in Riyadh and carried out stress testing of the PD models
* Carried out computation VaR using the Multifactor model by leveraging statistical techniques like linear regression, monte carlo simulation, importance sampling in SAS
Retail Scorecard Development for Credit Card
* Developed application scorecard for credit card portfolio, applied Reject Inference methodology to remove the sample bias for model development and to include the rejected population as well
* Responsible for model development including roll rate analysis, creating bad definition, vintage analysis, regression techniques etc. for retail portfolio
Return on Capital Adequacy Reporting
* Creating a dashboard for reporting the Return on Capital Adequacy using a Standardized approach as per the RBI guidelines.
FI and Corporate Model Development
* Developed and validation of Expert judgment models based on quantitative and qualitative factors for the FI and Corporate portfolio.
* Developed sector specific macroeconomic model for a bank in Riyadh and carried out stress testing of the PD models
* Carried out computation VaR using the Multifactor model by leveraging statistical techniques like linear regression, monte carlo simulation, importance sampling in SAS
Retail Scorecard Development for Credit Card
* Developed application scorecard for credit card portfolio, applied Reject Inference methodology to remove the sample bias for model development and to include the rejected population as well
* Responsible for model development including roll rate analysis, creating bad definition, vintage analysis, regression techniques etc. for retail portfolio
Return on Capital Adequacy Reporting
* Creating a dashboard for reporting the Return on Capital Adequacy using a Standardized approach as per the RBI guidelines.
FI and Corporate Model Development
* Developed and validation of Expert judgment models based on quantitative and qualitative factors for the FI and Corporate portfolio.
Retail, SAS, Testing, Development
2014 - 2015
job
Business Analyst
Genpact.
Model Development Location: Bangalore
* Worked for one of the leading US Bank for the Indirect Automobile Loan Portfolio which involved managing the New and Used motor vehicles Lending credit policy effectively by measuring the impact on Expected Losses for the varying levels of attributes like LTV, DTI, PTI etc.
* Determining the most predictive score out of FICO, D&B, Experian and the custom score.
* Certified in Risk and Regulatory Practices from Genpact (extensive 2 months training programme)
02 - 200
INTERNSHIP & PROJECTS
* Internship - IMRB International - Used techniques like factor analysis, multiple linear regression and logistic regression to get insights from the customer feedback data.
* Project - Undertook projects on data mining and Cluster analysis
* Worked for one of the leading US Bank for the Indirect Automobile Loan Portfolio which involved managing the New and Used motor vehicles Lending credit policy effectively by measuring the impact on Expected Losses for the varying levels of attributes like LTV, DTI, PTI etc.
* Determining the most predictive score out of FICO, D&B, Experian and the custom score.
* Certified in Risk and Regulatory Practices from Genpact (extensive 2 months training programme)
02 - 200
INTERNSHIP & PROJECTS
* Internship - IMRB International - Used techniques like factor analysis, multiple linear regression and logistic regression to get insights from the customer feedback data.
* Project - Undertook projects on data mining and Cluster analysis
Data mining, Training, Analyst, Development, Regulatory, International, Cluster Analysis, Internship
My education
University of Delhi
Masters, B.Sc. Statistics
Masters, B.Sc. Statistics
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