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subhamoy das

@subhamoydas

Counterparty Credit Risk Associate at UBS, validating SFT models for regulatory capital and stress testing with Python prototypes.

India

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At UBS BSI Pvt. Ltd., I validate Securities Financing Transaction models for CCAR, LPA regulatory capital, and stress testing. My work includes reviewing valuation models and collateral eligibility, implementing independent prototypes in Python, and preparing end-to-end reports.

At JP Morgan Services India Pvt. Ltd., I forecast home-lending credit losses using historical loan-level data and U.S. macroeconomic variables. I run quarterly forecasts for budget planning and annual forecasts for CCAR submissions, and monitor performance through backtesting and control checks.

Earlier at UBS BSI Pvt. Ltd., I validated Net Interest Income and client-rate forecasts for the UBS IRRBB portfolio, as well as Non-Interest Revenue forecasts for the APAC Asset Management portfolio. I used regression and time-series analyses to assess model performance.

I hold a Master of Statistics from Indian Statistical Institute, with a specialization in Quantitative Finance. My academic projects applied statistical methods to genomic data and randomized-response sampling.

Experience

Work history, roles, and key accomplishments

Current

Counterparty Credit Risk Associate

Current

UBS BSI Pvt. Ltd.

Jun 2023 - Present (3 years 4 months)

Performed end-to-end model validation of Securities Financing Transaction models for CCAR and LPA regulatory capital and stress testing. Reviewed theoretical soundness of valuation models and built prototypes in Python.

Python Excel SQL Model Validation CCAR Performance Testing Securities Financing Transactions LightGBM Black Scholes Duration Convexity

Home Lending Credit Loss Forecasting

JP Morgan Services India Pvt. Ltd.

Nov 2021 - May 2023 (1 year 6 months)

Analyzed macroeconomic variables and forecasted delinquencies, foreclosures, and modifications using SAS-based models. Monitored model performance through backtesting and control checks.

SAS Macroeconomic Analysis Credit Risk Forecasting Backtesting Model Validation

Risk Modelling & Analytics Specialist

UBS BSI Pvt. Ltd.

Jul 2018 - Oct 2021 (3 years 3 months)

Validated Net Interest Income and Client rate forecasts for IRRBB portfolio and Non-Interest Revenue for APAC Asset Management under stress testing. Performed regression and time series analyses.

regression analysis Time Series Analysis ARMA Models ARIMA Performance Testing IRRBB Financial Modeling

Education

Degrees, certifications, and relevant coursework

Indian Statistical Institute

Master of Statistics, Statistics

2016 - 2018

Activities and societies: Specialization: Quantitative Finance. Courses: Regression Analysis, Linear Model, Time Series Analysis, Financial Econometrics, Quantitative Finance, Stochastic Calculus.

Master of Statistics with specialization in Quantitative Finance. Completed a project on a novel statistical method to find associated loci integrating genomic data.

St. Xavier's College

Bachelor of Science, Statistics

2013 - 2016

Activities and societies: Courses: Data visualization, Probability Theory, Statistical Inference, Time Series Visualization, Regression Theory, Sample Survey, Population Statistics, Programming in R. DST INSPIRE-SHE scholarship awardee (2014-16).

Bachelor of Science with Statistics as Honours. Completed a project on estimation of prevalence rate of child-abuse using Randomized Response Sampling Method.