Malvika Saraf
Assistant Manager - Risk & Compliance @Protiviti Middle East Member Firm
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WORK HISTORY
Assistant Manager - Risk & Compliance @Protiviti Middle East Member Firm
Abu Dhabi Emirate, AE
Led the end-to-end development of IFRS9 ECL models (PD, LGD, EAD) including data preparation, default definition, segmentation, while establishing a robust governance framework model validation, performance monitoring, overlays and regulatory compliance (SAMA) in collaboration with Finance, Risk and Audit stakeholders-Led the development of Recovery and resolution planning (RRP) for a leading KSA bank, including analysis of financial statements to identify stress testing areas, assessment of shock impacts on bank\'s balance sheet and evaluation of recovery options to strengthen capital and liquidity during plan invocation, in compliance with SAMA guidelines.
EDUCATION
Madras School of Economics
Master's degree, Applied Quantitative Finance
The Bhawanipur Education Society College
B.Sc, Economics
SKILLS
ABOUT MALVIKA SARAF
Credit Risk Analytics professional with almost 5 years of experience across credit risk domain including validation and development of IFRS9 compliant ECL models (PD, LGD, EAD) and validation of Financed Emissions and Climate Risk Stress testing models. Also familiar with Basel IV minimum capital requirements and computations as well as ICAAP. and Well versed with Python, R, SAS, SQL and Microsoft office.
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