Staffing Specialist at Pylon Management Consulting
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Assistant Manager/Manager/AVP - Risk Analytics (3-10 yrs)
Job Description:
- Obtain and QA/QC all data required for CCAR stress loss model development.
- Build international primary CCAR stress loss models (e.g., Interthix, account-level PD models)
- Build international benchmark CCAR stress loss models (e.g. segmented econometric models)
- Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility)
- Recalibrate all models annually to incorporate latest data
- Deliver presentations to regulatory constituents on all CCAR models built
- Experience with the dynamics of unsecured products - with international credit cards and installment loans a strong plus.
- Active role in performing some of the analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconsilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation
- Exposure to SAS
- Exposure to employing Argus' LookAhead (formerly Interthinx/Stategic Analytics) Dual Time Dynamics modeling techniques and software a significant value-add.
For more details, please contact:
Nina Joy
080 39281680
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