Hasan Abbas

Leading a team responsible for the management of the group impairment models covering credit losses, partnering with individual model owners to define impairment models strategy.
Drive the development of the model risk management framework for implementation standards, procedures, compensating controls, independent testing and ongoing monitoring.
Design and own the model change and calibration framework.
Drove EAD models accuracy through strategic model change initiative.
Supported audit and regulatory reviews by preparing comprehensive model documentation, responses, and remediation tracking.
Defined new set of model performance KPIs and implement the model monitoring process for all the IFRS9 impairment CIB models.
Define and implemented the uncertainty analysis for IFRS9 model and SICR assessment.
Partnered with senior stakeholders to strengthen model change & calibration framework, driving accuracy and transparency in impairment model lifecycle.

Work closely with judgmental team to develop risk strategies and suggesting changes to credit underwriting policies that drives portfolio expansion. Identify areas of potential concerns/risk that should be addressed through the analysis process.

Leading a team responsible for the management of the group impairment models covering credit losses, partnering with individual model owners to define impairment models strategy., Drive the development of the model risk management framework for implementation standards, procedures, compensating controls, independent testing and ongoing monitoring., Design and own the model change and calibration framework. Drove EAD models accuracy through strategic model change initiative., Supported audit and regulatory reviews by preparing comprehensive model documentation, responses, and remediation tracking., Regulatory Frameworks: IFRS 9, Basel, Defined new set of model performance KPIs and implement the model monitoring process for all the IFRS9 impairment CIB models., Define and implemented the uncertainty analysis for IFRS9 model and SICR assessment., Partnered with senior stakeholders to strengthen model change & calibration framework, driving accuracy and transparency in impairment model lifecycle.

Led centralized credit risk model confirmations team. Maintain firm wide model review procedures, standards and model review schedule to ensure the timeliness, quality and review rigor., Defined model performance and model risk confirmation concept that ensure risk models are fit for the purpose and meet all regulatory requirements., Developed Sensitivity, Uncertainty analysis framework as part of annual model confirmation., Performing an evaluation of changes to the model environment, including macroeconomic factors etc., Conducted audit-style testing of model controls and validation reviews to meet regulatory standards (SR 11-7, Basel)., Drove automation of model reviews, saving 100+ man-hours annually, and improved efficiency of model governance.

Worked with Impairment Modeling team of Decision Science (DS) to ensure projects are completed within agreed time frames and end-client satisfaction through effective project management. Contribute to the broader DS department through participation in peer reviews, term of reference reviews, modeling forums and ad-hoc project collaborations., Developed impairment LGD models for Germany, and Southern Europe countries (IAS 39), Enhanced existing impairment LGD model: Carried out a segmentation analysis to isolate different recovery behaviour. This improves the accuracy of model and successfully implements the change in model methodology for new portfolios

Led independent model reviews/validation of credit risk models used for capital reporting, capital stress testing, risk measurement and input in balance sheet. Performed full scope validation of Wholesale/Retail Credit Risk Models., Validated CCAR/DFAST models, perform scenario analysis and sensitivity analysis to ensure robustness of the model, evaluate/ identifies model risk and limitation, evaluate/review model monitoring and maintenance plan/ report, Worked directly with model developers from Wholesale/Retail Credit Risk teams to achieve model completeness. Ensure models and documentations are in compliance with all policies and guidelines., Additionally, responsible for developing statistical models and performing analysis that are required in pilot projects as a part of business development and account management activity. Led and managed a team of five focused on model risk utility., Developed CCAR/DFAST model for Existing Home Sales volume and an alternate PD scorecard model for commercial leasing portfolio, Developed LGD model for non-performing loans (NPLs) portfolios. The model provides independent LGDs modeled by Beta distribution for NPLs to estimate economic capital, Developed benchmark model and performed sensitivity analysis for existing probability to default model

Led centralized credit risk model confirmations team.
Maintain firm wide model review procedures, standards and model review schedule to ensure the timeliness, quality and review rigor.
Defined model performance and model risk confirmation concept that ensure risk models are fit for the purpose and meet all regulatory requirements.
Developed Sensitivity, Uncertainty analysis framework as part of annual model confirmation.
Performing an evaluation of changes to the model environment, including macroeconomic factors etc.
Conducted audit-style testing of model controls and validation reviews to meet regulatory standards (SR 11-7, Basel).
Drove automation of model reviews, saving 100+ man-hours annually, and improved efficiency of model governance.

Led independent model reviews/validation of credit risk models used for capital reporting, capital stress testing, risk measurement and input in balance sheet.
Performed full scope validation of Wholesale/Retail Credit Risk Models.
Validated CCAR/DFAST models, perform scenario analysis and sensitivity analysis to ensure robustness of the model, evaluate/ identifies model risk and limitation, evaluate/review model monitoring and maintenance plan/ report.
Worked directly with model developers from Wholesale/Retail Credit Risk teams to achieve model completeness.
Ensure models and documentations are in compliance with all policies and guidelines.
Additionally, responsible for developing statistical models and performing analysis that are required in pilot projects as a part of business development and account management activity.
Led and managed a team of five focused on model risk utility.
Developed CCAR/DFAST model for Existing Home Sales volume and an alternate PD scorecard model for commercial leasing portfolio.
Developed LGD model for non-performing loans (NPLs) portfolios.
The model provides independent LGDs modeled by Beta distribution for NPLs to estimate economic capital.
Developed benchmark model and performed sensitivity analysis for existing probability to default model.

Worked with Impairment Modeling team of Decision Science (DS) to ensure projects are completed within agreed time frames and end-client satisfaction through effective project management.
Contribute to the broader DS department through participation in peer reviews, term of reference reviews, modeling forums and ad-hoc project collaborations.
Developed impairment LGD models for Germany, and Southern Europe countries (IAS 39).
Enhanced existing impairment LGD model: Carried out a segmentation analysis to isolate different recovery behaviour.
This improves the accuracy of model and successfully implements the change in model methodology for new portfolios.

Work closely with judgmental team to develop risk strategies and suggesting changes to credit underwriting policies that drives portfolio expansion.
Identify areas of potential concerns/risk that should be addressed through the analysis process.