Sameer Monga

Business Advisory Specialist

Acies Consulting

09.2023 - 04.2024

Developed Credit Risk Models: Built predictive models to assess Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) for various types of retail and wholesale lending portfolios
Leveraged Generalized Linear Models and advanced machine learning techniques for predictive analytics, designing comprehensive Expected Credit Loss (ECL) models and risk scorecards
IFRS 9 Compliance and Capital Calculation: Developed IFRS 9-compliant Expected Credit Loss (ECL) models integrating macroeconomic scenario forecasting to meet regulatory standards
Applied the Advanced Internal Ratings-Based (AIRB) approach for capital estimation, ensuring alignment with both IFRS 9 and Basel requirements
Conducted rigorous model validation, backtesting, and sensitivity analysis to ensure model robustness, reliability, and adaptability to evolving market conditions and regulatory frameworks
Market Risk Capital Charge: Led efforts to compute market risk capital charge for a bank's trading portfolio, ensuring compliance with regulatory standards
Calculated counterparty credit risk charge for OTC derivatives, repo-style and other transactions booked in the trading book
Model Validation and Development: Conducted independent model validation for a leading conglomerate and one of India's largest private sector bank, focusing on their treasury and risk systems
Developed and rigorously tested mark-to-market (MTM) valuation models for a wide range of OTC vanilla and exotic derivatives, including options (FX, barrier, digital, greeks etc), swaps such as CCS, IRS, FRA and interest rate products
Additionally, validated sensitivity models for calculating PV01, Value at Risk (VaR), ETL, stress testing, and option Greeks, ensuring robustness of market risk assessments
Financial Analysis: Independently developed financial models and performed equity analysis on various companies, utilising techniques like DCF, comparable company analysis, ratio analysis to assess company performance and valuation
ALM System Implementation: Assisted in implementing ALM systems for banks and NBFCs, covering liquidity and funding metrics such as LCR and NSFR
Prepared Business Requirements Documents (BRD), Functional Specification Documents (FSD), and supported UAT and go-live processes
Contingency Funding Plan (CFP): Assisted banks in drafting comprehensive CFP documents to ensure bank's readiness for liquidity stress events, aligned with regulatory and liquidity risk management frameworks
Forward Rate Agreements (FRA): Helped banks and insurers in executing FRA transactions for managing interest rate risk in their books
Prepared documents to support decision-making processes

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