Shubhadip Bhattacharya

Associate Partner, Financial Risk Management

Education & Qualifications

• PhD – Mathematics & Stat
• MBA (Risk Management) – Macquarie University, Australia
• MS Statistics – BU India
• B.E Information Science – JU India
• PGD in AI and Machine Learning from UT Austin)

Areas of Expertise

• ICAAP
• Risk Analytics (Market, Credit, Operational)
• ILAAP
• Financial Risk Management
• Regulatory Reporting
• Governance Review
• Policy formulation
• Thematic Reviews
• Liquidity Management
• Banking Strategy
• Supply Chain Analytics

Overview

Bhattacharya has an experience of over 14 years in Regulatory consulting and Financial risk management and has worked across GCC , USA. He has worked with multiple big 4 audit firms such as Deloitte and KPMG. Bhattacharya is proficient in frameworks such as ICAAP, ILAAP and stress testing. Additionally, Bhattacharya has worked aggressively on BASEL regulations where he has lead multiple engagements related to the implementation of Revised BASEL framework (BASEL 3).

Relevant Experience

• Led the team for Basel implementation and CCAR review for 2 largest Banking holding company of USA.
• Worked on PD and LGD model development and validation for a leading financial institution in India using different selection criteria in multinomial logistic regression, two stage regression and CART/ CHAID.
• Model validation of Pre-Provision Net Revenue (PPNR) models for a leading global bank based on CCAR guidelines.
• Worked on developing VAR and expected shortfall models for estimation of operational risk exposure of leading public and private sector banks.
• Worked on the validation of an existing model using different metrics (e.g. GINI,PSI, KS statistic) to check the model stability and performance
• Conducted Operational risk management reviews and risk model development / validation for leading banks, to enable their transition to advanced measurement approach under Basel.
• Led the operational risk capital measurement project at leading Indian private sector banks using VAR and Expected Shortfall models. As part of these projects he has also done loss data validation, Scenario Analysis and RCSA.
• Conceptualized and Implemented ERM framework in line with European Solvency II for a leading Indian Life Insurer. He was also a part of actuarial estimation model validation team.
• Worked closely with the Market Risk team and Treasury department of Banks in multiple engagements such Pillar I implementation, IRRBB and stress testing
• Led the team in the review of ICAAP of major Banks across GCC
• Assisted Banks across GCC in the construction of stress testing framework, in accordance with the global standards, and ILAAP
• Assisted Banks across GCC related to the implementation of new Banking book and trading book classification
• Performed Thematic Review alongside Central Bank regarding BASEL Pillar I, Pillar II and ICAAP