Tanmay Mehta

About Tanmay Mehta

Quantitative risk leader with 12+ years of experience designing and governing credit risk…

Experience

1. Credit Risk Modeller

   Deloitte

   Apr 2022 — Present · Pune, IN

   Highlights: Model Development• Development and enhancement of PD, LGD and EAD model for AIRB,IFRS9 models for one of the largest banks in the world for wholesale products such as corporate loans, MSME loans, Overdraft etc.• Review the data present in the data platform from modelling perspective and highlight the issues such as missing values, outliers, and also suggest the steps to be taken to make data more usable for modelling purpose.• Prepare the development, train and out of time sample date sets. Also perform downturn period analysis and then Define the target variable and perform SFA and MFA on the risk factors to identify the variables having strong relationship with target variable and fit logistic regression, decision trees, linear regression using SAS and Python.• Enhance the model to fit to the calibration, downturn and Margin of conservatism.• Perform sensitivity analysis on the model with respect to the risk factors identified.• Validate the model results using parameters such as confusion matrix, AUC-ROC, Gini, KS and other parameters and select champion and Challenger model.• Document the model steps as per the model risk management SS1/23 SR11-7 requirement for regulatory approval and compliance and prepare end to end process document including summary, data, assumptions, decisions, modelling approaches, calibration steps, and model testing etc.• Also helped to convert the modelling steps code from SAS to Python.Highlights: Program Management• Involved in end-to-end management of central model development/monitoring platform for wholesale banking for one of the largest bank of the world.• Plan the BoW for upcoming modelling activities including model development, validation and monitoring exercise.• Interact with Analytics stakeholders, modelling team, business experts and Data/IT teams and prepare the BoW and create value streams for modelling projects and track them.

Education

• Gujarat University

  Engineer’s Degree, Computer Engg

  2006 — 2010

• ITM Business School

  MBA(Finance), Finance, General, IT

  2011 — 2013

Skills

• Business Process Improvement
• Hp Application Lifecycle Management
• User Stories
• Black Belt
• Stress Testing
• Business Analysis
• Oracle Applications
• Financial Risk Management
• Business Process Design
• Market Risk
• Lean Six Sigma
• Software Design
• Software Engineering
• Requirement Specifications
• Microsoft Office
• Six Sigma
• Actuaries
• Actuarial Exams
• Scrum
• Statements of Work (Sow)
• Software Modeling
• Financial Analysis
• Aris
• Process Modeling
• Agile Methodologies
• Analysis
• Team Management
• Enrolled Actuary
• Actuarial Science
• Market Research
• Software Development Life Cycle (Sdlc)
• Value at Risk (Var)
• R
• Use Case Analysis
• Requirements Analysis