Nidhi Agarwal Email & Phone Number

London, Gb

Glasgow, Scotland, Gb

Leading analytics functions responsible for the management of the end-to-end model lifecycle encompassing data, model developments, independent model validation, governance, strategy and ongoing model monitoring and use.

Glasgow, Scotland, Gb

Heading the independent model validation, model risk governance and model strategy teams to ensure model risk is adequately assessed, understood and managed in the bank.

London, Gb

Fund-Raising -- • Propagate the object of the charity which is to raise funds for the rehabilitation and support of street children in India. • Organise various fund-raising activities throughout the year. Achievements -- • Awarded the second prize in the ‘Charity of the Year’ competition organised by the law firm SJ Berwin. • Partnered with Mira Nair films to be the ‘Charity of the Evening’ during a Leicester Square film premier of the Mira Nair directed movie Salaam Bombay (the movie that inspired the creation of Salaam Baalak Trust in India). • Partnered in funding the purchase of a shelter home for girls in Delhi. • Supported the special education program for 3 dyslexic 10 year old girls.• Charity has raised thousands of pounds since incorporation through personal donations, events and word of mouth.

London, Gb

Model Risk Evaluation• To safeguard the bank against unmitigated model risk. The remit includes quantification of model risk through model performance monitoring and assessment for all wholesale credit risk models used for IRB Regulatory Capital, Economic response models used for IFRS9 ECL, CECL, Stress Testing and Economic Capital, Climate risk models and models used for Credit Decisioning in the SME space covering the business banking clients.Model Oversight• To oversee the effectiveness of the overall model risk control environment. This includes oversight of the implementation of model risk policy requirements, Model Inventory Coordination, ongoing model risk control effectiveness reviews, maintenance of the global Risk and Control Assessments with any associated Path-To-Green plans and facilitation of the Model Oversight Forum.

London, Gb

As the Head of Wholesale Credit Risk Model Validation, I am responsible for further enhancing and executing validation strategy across wholesale credit risk models, specifically those used for regulatory capital, IFRS9 and stress testing.

London, Gb

As first line of defence, responsible for ensuring that wholesale credit risk models within HSBC are performing as per defined standards. This is achieved by executing the following activities: • Responsible for the delivery of in-depth technical model validations and ongoing performance monitoring including presenting them to governance committees for approval for the global models.• Responsible for coordinating the in-depth technical model validations for the regional models.• Responsible for defining the global standards for annual validation of PD, LGD, EAD and EL models and ensuring that the defined standards remain up to date and reflect amendments to regulatory requirements.• Responsible for conducting the governance committee responsible for model performance.

London, Gb

Model Development (2011 - March 2013) --• Led and completed the project of re-developing Group’s Banks PD rating model in light of the 2008 financial crisis.• Developed a model to quantitatively assess the cyclicality of probability of default measures of the internal PD models. Also developed a model to convert the internal hybrid PD model outputs into pure Point-in-Time and Through-the-Cycle PDs.Model Monitoring & Validation (2012 - March 2013) -- • Led and contributed to the writing and approval of global standards for the annual validation of PD, LGD and EAD models. • Led a team responsible for delivering the in-depth technical model validations and ongoing performance monitoring including presenting them to governance committee for approval.Model Governance (2012 - March 2013) -- • Contributed to the design and creation of new governance committees for wholesale credit risk models. • Coordinated and organised the model performance governance committee on a monthly basis. • Contributed to the review of the global model standards for model development. Regulatory Compliance (2011 - March 2013) -- • Ensured that model developments are regulatory compliant.• Responded to the various regulatory requests.

London, Gb

Commercial Credit Risk Models -- • Build Probability of Default, Exposure at Default and Loss Given Default models for the commercial portfolio across the emerging market geographies of Barclays. • Researching and adapting new methodologies to build models given data deficiencies. Basel II Compliance -- • Knowledge of concepts like the definition of default and other aspects of a Basel II compliant model. • Ensure that the model building process follows the regulatory requirements for Basel II compliance. Model Validation & Implementation -- • Wrote the Validation Standards document to define the framework for all model validations. • Validation and monitoring of the existing models to ensure model is up to date with industry's best practices. • Implementation and testing, if required, to ensure timely delivery of the models to the stakeholders. Model Training -- • Impart training on models to the business, senior management and other stakeholders. • Knowledge sharing with colleagues to come up with innovative ideas to improve model performance and robustness.

London, England, Gb

Lloyds-HBOS Integration -- • As a member of the Lloyds-HBOS integration team, modelled risk integration of Lloyds TSB and HBOS. Work included designing models to align linear and non-linear risk factors of both the entities so as to fit into the existing Lloyds TSB models. • Conceptualised a model design in order to have a consolidated market risk model for the combined entity. Value at Risk Models -- • Migrated and modelled the VaR calculation methodology from Variance-Covariance to Historical Simulation for one of the trading desks. Modelled additional feature of What-If scenario analysis. • Modelled VaR for the trading book using Historical Simulation methodology wherein the zero-coupon rates are derived using US$ base curve and forwards points.• Built a model to capture the Futures-FX basis risk add-on for the forwards and swaps trading desks. Loan Fair Valuation Model -- • Built a reduced form credit risk model with ratings migration to value loans embedded with prepayment options.• Validated the model by providing developmental evidences, benchmarking, process verification and outcome analysis.

Classroom Teaching -- • Delivered lectures on various mathematical subjects to the undergraduate class of 2007-2008, St. Stephen’s College.• Conducted class tests to encourage out-of-the-box thinking during exams. Counselling and Tutorials --• Produced handouts, provided tutorials and counselling to support class room teaching.• Formulated an interactive session with the students in order to evaluate them for their internal assessment grades.

• Taught Mathematics to the school final students of this Non-Governmental Organisation.• Counselled and encouraged them to nurture their latent talents.

Master Of Science (Distinction), Financial Mathematics

Master Of Arts, Mathematics

Bachelor Of Arts (Hons), Mathematics