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Shreetama Das

@shreetamadas

I build and validate retail credit risk models for loss forecasting and probability of default.

At Citi, I lead development and validation of CCAR loss forecasting, probability of default, and credit risk scorecard models for Retail Services.

I've worked across the full model lifecycle, from portfolio analysis, data-quality reviews, and variable assessment through logistic regression modeling, performance testing, monitoring, and regulatory governance. My work uses measures including KS, Gini, AUC, risk ranking, and population stability to support robust, compliant models.

Previously at Citi, I validated credit risk scoring models for commercial retail services and retail business banking, including bureau scores from Experian, D&B, and FICO. I also developed portfolio monitoring and MIS reporting frameworks to identify emerging risks and deterioration trends.

Earlier, I used R to analyze sales patterns at MIBS and developed a Merton Model during my XLRI research internship to estimate probability of default for Masala Bond issuers. I'm also an early adopter of Gen-AI tools for model risk and analytical workflows.

Experience

Work history, roles, and key accomplishments

Current

Manager – (Model/Valid Int. Analyst)

Current

Citicorp Services India Pvt Ltd. (Citi)

Jan 2023 - Present (3 years 7 months)

Lead analytical efforts to develop and validate CCAR Loss Forecasting and Probability of Default (PD) models and Credit Risk Scorecard models for Retail Services. Perform portfolio analysis, data quality reviews, and model performance assessments to ensure regulatory compliance.

Loss Forecasting Probability Of Default (PD)Credit Risk Assessment Logistic Regression Time Series Analysis SAS Programming SQL Model Validation Sensitivity Analysis Model Risk Management

Assistant Manager – (Model/Valid Analyst I/II)

Citicorp Services India Pvt Ltd. (Citi)

Dec 2018 - Dec 2022 (4 years)

Validated Credit Risk Scoring models for existing and new customers across Commercial Retail Services and Retail Business Banking. Performed model tests and measures, developed monitoring frameworks, and delivered technical documentation.

Credit Scoring Model Validation SAS Programming SQL Portfolio Monitoring MIS Reporting Model Risk Management

Associate Analyst

Mahindra Integrated Business Solutions (MIBS)

Oct 2018 - Dec 2018 (2 months)

Performed Exploratory Data Analysis and provided insights on sales patterns to the business team using R programming. Worked with the Marketing team to communicate data and model insights.

R Data Insights

Research Intern

XLRI

May 2017 - Jul 2017 (2 months)

Researched the rationale and market trends behind 'Masala Bonds', benchmarking them against ECBs and FCCBs using data from RBI and Bloomberg. Developed a Merton Model to estimate probability of default for select companies.

Research Financial Analysis Merton Model RBI Data