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Anindya Kundu

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Summary

Fifteen years in banking risk — interest-rate risk (IRRBB), asset–liability management, behavioural modelling, and SAS-based implementation. Works across the full chain: methodology, data, model build, validation, and the production system that reports the numbers.

Background

Organisation	Role
SAS	Senior Consultant — IRRBB & ALM implementation, Indian & APAC banks
Ryzklytix Consulting Solutions	Lead Consultant, then Technical Consultant — risk implementations across Asia
EY	Consultant — Market Risk / ALM / VaR, Basel II
Wipro Infotech	Senior Software Engineer

Expertise

Capsules & Accelerators

Working builds, ready to be pointed at a bank's own data and cashflows — not from-scratch projects.

• IRRBB stress-testing capsule — SAS Stored Process computing EVE across multiple stress sets and scenarios, NII by the gap method, reverse stress by binary search to the breakeven shock, a multi-sheet management report, and run historization.
• Behavioural model accelerator — NMD (retail & wholesale), TDRR, CPR and AIRO, each with its own validation workbook, extended with SARIMAX and walk-forward backtesting.
• AIRO / Hull-White valuation module — short-rate model calibrated to a government-securities curve, valuing early-withdrawal optionality on wholesale term deposits.
• Liquidity / LCR engine — HQLA classification, inflows/outflows, validation and audit trail, as a parameter-driven SAS application.

How this helps

• IRRBB & ALM implementation or independent review
• Behavioural model development or validation
• SAS delivery & SAS 9 → Viya migration support

Project work, retainer, or specialist support within an existing delivery team. Remote or on-site.

Engagement

Available for consulting, implementation, advisory and independent-review engagements — directly with a bank's risk or treasury team, or alongside consulting and technology partners.

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