Responsible for enhancing and developing the Internal Capital Adequacy Assessment Process (ICAAP) at ABFL. This involves stress testing of risk in excess of the Pillar 1 requirement including credit risk, liquidity risk, IRBB, operational risk and strategic risk.
Model Development:
Development of stress testing models in compliance with the regulatory guidelines.
Documentation
Responsible for the documentation of ICAAP.
Risk Appetite Statement/Enterprise Risk:
Computation of various risk types on the basis on key risk metrics.
Aggregate the various risk types to compute an Enterprise Risk score.
Build Model and maintain documentation and track necessary deliverables
VAR:
Model Development:
Design, develop and test VAR Models.
Model Validation:
Perform Back-testing and sensitivity analysis of VAR model.
Documentation:
Prepare and maintain documentation for the VAR model.
Sensitivity Analysis on various portfolio cuts:
Perform Sensitivity Analysis on various portfolio cuts.
