Ramanuj Ray Choudhury
Treasury Analytics | ALM & IRRBB | FTP & Liquidity Risk | Basel III/IV & ICAAP | Cloud-Native (Snowflake · DBT · Python)
- Role
- Manager at KPMG India
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Ramanuj Ray Choudhury
I’m an ALM and Treasury Business Analyst specializing in end-to-end Treasury Analytics, IRRBB, FTP, and Liquidity Risk Management — combining Basel expertise with modern data engineering. Treasury Analytics & Risk FrameworksHands-on experience in Asset–Liability Management (ALM), Interest Rate Risk in the Banking Book (IRRBB), and Funds Transfer Pricing (FTP).Support Treasury transformation programs focused on balance-sheet optimization, profitability steering, and Basel / ICAAP compliance. Liquidity Risk & Regulatory CompliancePrevious experience as a Liquidity Risk Business Analyst, implementing Basel SEC 17Ad-22(e), and PFMI Principle 7 frameworks for clearing corporations — including intraday liquidity, stress testing, and Qualified Liquidity Resource (QLR) modelling. Profitability & Capital SteeringDelivered IRRBB–FTP integration for product-level pricing, capital attribution, and ALCO reporting, aligning Treasury analytics with ICAAP / ILAAP governance frameworks. Cloud-Native Tech StackLeverage Snowflake, DBT, and Python to build automated data pipelines and real-time Treasury dashboards for IRRBB, FTP, and liquidity analytics. Key ProjectsTreasury ALM Enhancement Program (IRRBB–FTP Integration)• Implemented Basel IRRBB framework, quantifying ΔNII and ΔEVE sensitivities via repricing gap ladders, PVBP tables, and ICAAP stress scenarios.• Modelled behavioral cashflows and deposit pass-through betas, capturing optionality and rate-floor effects for accurate earnings and value measures.• Developed matched-maturity FTP curves with liquidity-cost add-ons, integrating pricing and risk analytics into Treasury dashboards for ALCO decision-making.Clearinghouse Liquidity Modernization• Reduced liquidity buffers by 18 % through dynamic SLD triggers and advanced stress-testing scenarios.Liquidity Stress Testing (PRA 110 Alignment)• Delivered PRA-aligned liquidity stress tests (idiosyncratic, market-wide, combined), quantifying survival horizons, stressed LCR, and Contingency Funding Plan (CFP) activation thresholds.Data Analytics Dashboards• Enhanced liquidity decision-making with analytics dashboards linking LCR, NSFR, and SLD metrics to funding and collateral trends for early stress-signal detection.Presales & Solution Demos• Led 15 + RFP responses for Credit / Market / Liquidity Risk solutions (APAC & Canada).Basel Reporting Automation• Reduced reporting errors by 20 % using Snowflake + DBT pipelines, improving audit traceability and data lineage.
Experience
Manager
Jan 2026 — Present · Mumbai, IN
Education
NEOMA Business School
Master of Science - MS, Financial Markets and Technologies
Jadavpur Vidyapith
Passed Class 12
Bengal College of Engineering and Technology 125
Bachelor's degree, Computer Science
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