Sanjay Bhatia
Director – Risk Modelling & Analytics, Model Risk, Wholesale Credit Models , UBS
- Role
- Director at UBS
- Location
- Delhi, DL, IN
- LinkedIn followers
- 500 followers
About Sanjay Bhatia
An experienced financial risk management and quantitative modelling professional with…
Experience
Director
Aug 2021 — Present
Wholesale Credit Risk Model Validation • Performing IB wholesale credit risk (PD/LGD/EAD/Framework) model methodology validation & periodic review for Pillar-1 BASEL AIRB, Pillar-2 Stress Testing Economic Capital and IFRS 9 ECL PIT models. • Leading innovation projects to adopt alternative datasets and/or challenger benchmark models (Machine Learning based models Lasso Ridge, Elastic-Net, bagging, boosting etc) with the purpose of achieving an event-based (instead of periodic-based) model validation.* Fulfilling the ask of regulatory exam assessments (FINMA/PRA/EBA/other) and model audits (internal/external).* Optimizing and harmonizing validation and model monitoring standards, processess, and practices for effective model risk management outcomes.* Internal/external consolidated reporting of wholesale model risks and performance metrics for the entire inventory of models.* Reviewing the model validation work of the team members to ensure effective challenge for unmitigated model risks.
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