Avinaba Chattaraj

About Avinaba Chattaraj

Academically trained in Economics/Econometrics/Statistics and professionally trained in statistical model development and data analytics to derive business insights from data.I have been working in the Banking and Financial services domain concentrating specifically on developing statistical models for loss forecasting.These models are used for various credit risk regulatory applications which ranges from stress testing to loss provisioning. Previously also worked on developing and monitoring machine learning models used for optimisation of marketing campaigns. I am familiar with regulatory applications of CCAR stress testing and accounting standards like CECL/IFRS9.

Experience

1. Credit Risk Modeller

   Investec

   Jun 2024 — Present

   Recalibrated TTC PD to PIT PD using Vasicek-merton equation and mathematical optimisation for IFRS9 models.2. Created PD model monitoring app using Streamlit package in python and inhouse api.3. Development of framework to calculate origination pd term structure and reporting pd term structure using survival analysis to enhance IFRS9 staging methodology.4. Redeveloping IFRS9 pd models. Macroeconomic modeling, PIT pd calibration, pd term structure calculation for wholesale portfolios.

Education

• Ramakrishna Mission Vidyamandira

  Bachelor of Science, Economics(Hons) with Mathematics and Statistics

  2013 — 2016

• University of Calcutta

  Master of Science, Economics

  2016 — 2018