Alex Dilan Perera, Cfa Email & Phone Number

Sri Lanka

Sri Lanka

Sri Lanka

a) Risk Management Policies, Processes, Models and Risk Tolerance Framework - Overall ownership in development and implementation of the Banks’ integrated risk management framework based on BASEL III. Key focus areas include review of credit proposals; develop policies governing credit risk, liquidity risk, market risk and operations risk, development of the ICAAP process, risk model development and model governance, IFRS9 ECL model review and governance. - Design the Bank’s risk tolerance framework and update in a timely manner to ensure portfolio diversification and risk-reward optimization. Assessment of the internal controls' environment and the technology risk resilience framework.b) Model Risk Management- Bank uses a range of statistical models for Credit, Market, Liquidity and Operational Risk Management. These include PD, LGD and EAD models used for IFRS 9, internal rating models, Value at Risk and Expected shortfall-based models used for various market risk applications. I have experience in model development, documentation and conducting model validation for the full model inventory of the Bank. c) Macro Forecasting and Stress testing - Assessment of Macro data and trends to identify stressed and growth sectors. Develop economic factor forecasts and scenarios to be used for IFRS9 ECL models. Stress tests and ICAAP assessment based on the economic outlook.

London, England, United Kingdom

- Worked for two global banks in London, performing annual regulatory stress tests, IRB model development and validation as required by regulatory authorities (SEC, PRA, ECB). - As a part of the Moody’s Analytics team focused on Credit, market, liquidity and operational risk model development, validation and governance. Developed expertise on MA Credit Risk Management product suite. Developed statistical models for credit rating and scoring. - Performing data analytics for retail credit portfolio collection monitoring, credit card fraud detection and bank wide risk management. Have developed R and Python based Machine Learning tools for portfolio risk analysis, credit risk rating, counterparty and market risk assessment.

Risk regulations and stress testing - Have expertise in European banking regulations on IRB models with performing model validation and attestation against PRA and EBA regulations. I’ve worked with global banks formulating their IRB permission requests and performing their annual regulatory stress tests based on the PRA and EBA requirements. Good knowledge in PRA stress testing, Basel III, IFRS 9 and Moody’s Analytics productsCredit and market risk – Experienced in option pricing, credit risk modelling and interest rate modelling. Conducted research on counterparty risk management and have developed Monte Carlo based Potential Future Exposure (PFE) models for interest rate derivatives. Developed tools to assess portfolio risk using different VaR methodologies. Portfolio analytics – Experienced in portfolio analytics technology platforms (MSCI Barra Aegis, Wilshire iQuantum) for portfolio optimisation, strategy back-testing and performance attribution. Conducted research on active portfolio strategies for equity and fixed income portfolios. Research on factor selection and backtesting and extending the identified factors to develop factor based risk models.

Analysed customer requirements and requirement documentation, and communicated client requirements to the software development team to produce high-level technical designs. Also worked as Lead Business Analyst, managing and directing a team of analysts in designing a trading platform for over-the-counter (OTC) markets. Prior to this, worked in New Jersey, US, as an Onsite Consultant for a US client that used the trading system deployed by Millennium for products such as agencies, mortgages, repos, commodities (including natural gas, crude oil and electricity), interest rate swaps and other derivatives. Assisted the market controllers in setting up instruments to monitor trading activities and investigate complaints on prices, commissions and consideration.

The main software developments were interactive web sites and web portals. Web developments were based on technologies ASP, ASP.NET, PHP, JavaScript, Ajax

this is a part of the undergraduate degree internship.

Masters, Quantitative Finance (Financial Engineering)

B.Sc.(Hons), Computer Science And Engineering

Diploma, Diploma In Information Technology