NEERU GUPTA
Toronto,ON
Summary
Driven risk manager with over fifteen years of experience in Credit and Market Risk. Excellent data analysis, organizational, team and time management abilities with a great eye for detail and a true understanding of financial markets and regulatory guidelines.
Overview
16
16
years of professional experience
1
1
Certification
Work History
Senior Manager- Model Risk
Bank of Montreal
04.2024 - Current
- Lead a team of 4 external consultants to achieve project milestones and deliver high-quality results during the validation of IFRS9/CECL provisioning models for retail and business banking portfolios and stress-testing models.
- For the model being validated, conduct comprehensive review of the data processing steps, soundness of model methodology, quantitative tests and qualitative assessments of the model, execute independent calculations, and analyze/interpret model output
- Review the annual and on-going monitoring reports for IFRS9, CECL and ST models to ensure that the models are performing as intended
- Collaborate closely with peers from other departments to drive organizational success jointly as one cohesive unit.
Manager- Independent Review
Bank of Montreal
08.2018 - 03.2024
- For Credit Risk Retail and Wholesale AIRB Capital Models, provided effective challenge of regulatory compliance and/or assess regulatory compliance with OSFI's CAR Guideline (Basel 2.5 and Basel 3)
- Worked closely with model development and model validation team to understand the model build and identify the gaps (gaps to full compliance) and recommend areas for improvement.
- Prepared comprehensive and professionally written results which include Findings and Recommendations for stakeholder and executive audiences
- Demonstrated “Empowerment” by taking ownership and leading assigned work and offering risk expertise and independent thoughts, which helped IR Credit Risk team, colleagues and stakeholders to succeed
- Considered as the high performing team member and has been assigned exceptional performance rating in last 2 years
Manager- FSRM
Ernst & Young
06.2016 - 07.2018
- Validated the stress testing results of balance sheet and loss forecast models (such as pre-provision net revenue, credit and loss forecast and capital) for different scenarios for CCAR Review,
- Business analyst for BCBS-239 guideline driven Market Risk Dashboard for reporting VaR/ES, Limits and Sensitivities.
AVP- Market Risk
Deutsche Bank
06.2015 - 05.2016
- Worked on implementation of Var Backtesting methodology on the new system and decommission the legacy system and implement new system
- Assessed the impact of daily market risk factor movements on the market risk calculations and writing the commentary explaining the root cause of the movements
- Calculation and reporting of Var and Stressed Var sensitivities to senior management
Associate Manager- Non-Traded Risk
Australia- New Zealand Bank
12.2012 - 06.2015
- Led and managed a team for reporting of banking book (IRRBB) risk across geographies
- Monitored risk for the portfolios, identifying drivers of risk changes and escalating in case of limit breaches
- Validated and reported various risk measure used to measure and control portfolio's market risk like VaR, Risk sensitivities/Greeks and P&L for specific scenarios
- Analyzed calculation of VaR (Mismatch and Liquidity VaR), Earnings at Risk (EaR), DV01 and MV for the daily positions in the Banking book
- Performed stress testing and back testing reports on weekly basis to keep a track of potential loss in case of extreme conditions
Business Analyst
Credit Suisse
06.2010 - 11.2012
Junior Analyst
Genome International
11.2008 - 12.2009
Education
Master of Science - Financial Engineering
Kent State University
08.2008
Masters in Business Administration - Finance
IILM Institute
04.2006
Bachelors - Electronics & Telecommunication Engineering
Amravati University
05.2004
Skills
- Credit risk
- Market risk
- Risk model validation
- Python
- SAS
- SQL
- Data Visualization tools
- Basel 3
Websites
Certification
Financial Risk Manager (FRM) Certification
Timeline
Senior Manager- Model Risk
Bank of Montreal
04.2024 - Current
Manager- Independent Review
Bank of Montreal
08.2018 - 03.2024
Manager- FSRM
Ernst & Young
06.2016 - 07.2018
AVP- Market Risk
Deutsche Bank
06.2015 - 05.2016
Associate Manager- Non-Traded Risk
Australia- New Zealand Bank
12.2012 - 06.2015
Business Analyst
Credit Suisse
06.2010 - 11.2012
Junior Analyst
Genome International
11.2008 - 12.2009
Masters in Business Administration - Finance
IILM Institute
Bachelors - Electronics & Telecommunication Engineering
Amravati University
Master of Science - Financial Engineering
Kent State University
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