Sohom Chatterjee

Experience

• 

  D. E. Shaw India Private Limited

  May 2018 - Jul 2018

  Summer Intern
• 

  UBS

  Jul 2019 - now

  Scenario Generation models use the set of macro-financial variables provided by regulators like the Federal Reserve Board (FRB), the European Central Bank (ECB), and FINMA as well as the internally designed scenario variables to obtain conditional forecasts for various asset classes. The produced forecasts are used by credit, market and operational risk models to stress test the portfolios under their remit for different applications (such as CCAR/DFAST, ECB Stress Testing, FINMA LPA).My primary responsibility was to oversee the validation lifecycle of these models by following the risk management norms prescribed by regulatory guidelines like Basel Pillar II, SR-11-7, SR-15-19. This included assessment of the backtesting performance, benchmarking and sensitivity analyses, assessing whether the scenario forecasts are economically intuitive, assessment of the statistical and expert assumptions of the modelling approaches, and preparation of model validation reports for regulators, and internal and external audits.My secondary responsibilities included standardization of the validation workflow by collaborating on cross-team projects to develop and test an R library for automation of the validation analyses and a documentation tool for preparing the validation reports. Show less

  • Corporate Credit Model Validation (Associate Director)

    Sept 2023 - now

  • Scenario Generation Model Validation (Associate Director)

    Mar 2023 - Sept 2023

  • Scenario Generation Model Validation (Authorized Officer)

    Jul 2019 - Feb 2023