Projesh Basak

About Projesh Basak

Projesh is a Risk Analytics professional. He has a Masters in Statistics from IIT Bombay. He has gained vast experience in CCAR Stress Testing model development, AMA Loss distribution based modelling for RWA, Allocation Modelling, Risk Appetite, Operational Risk Modeling, Credit Risk(PD,LGD,EAD), ICAAP, Climate Risk, Fraud Detection, Basel and RCSA

Experience

1. Risk Modelling

   Northern Trust

   Apr 2022 — Present · Bengaluru, IN

   Credit Risk - Supported in implementing Residential Real Estate(RRE) fixed rate PD/Prepayment Model to generate default rate projections for client’s mortgage portfolio for CCAR and CECL purposes. Helped in implementation of PD projections for NT’s Large Corporate portfolio for IFRS9 purpose. The forecasted PD in conjunction with EAD and LGD is used to generate expected loss forecasts of the large portfolio.CCAR Stress Testing - Using advance analytics to develop CCAR Loss projection model to forecast quarterly loss at an enterprise level for both BHC and Supervisory Stress scenarios. Operational Risk Allocation Model- Using GAMLSS technique to allocate Regulatory Capital for internal strategic planning over business units like Asset Servicing, Wealth Management by estimating the cVAR of annualized loss of the company. Developed strategies to use CCAR and Allocation percentages in setting Risk Appetite thresholds.Advance Measurement Approach(AMA)- Using Loss Distribution Approach (LDA) to merge loss frequency and severity and scenario analysis to estimate the final regulatory operational risk capital. This model is used to allocated capital for legal entities and to calculate Risk Weighted Assets(RWA) for Operational Risk. Using Risk Control Assessment(RCSA) to create tokens, which helps in scenario building process.Climate Risk- Helped in building a dashboard to highlight Facilities & Processes, Supplier, Physical and Emerging Risks, Counterparties, Litigation landscape and Regulation Trackers. Created forward looking scenarios based on damage to physical assets and litigation riskPPNR-Developed time series model to predict commercial demand deposit(DDA) balances for CCAR purposes.

Education

• Nava Nalanda

  Higher Secondary

• Indian Institute of Technology, Bombay

  Master of Science - MS, Applied Statistics and Informatics

  2016 — 2018

• RKRMC Narendrapur

  Bachelor of Science - BS, Statistics