Risk Data & Analytics - SAS

Practice & role overview :

- Deloitte's Governance, Regulatory and Risk practice provides financial risk management solutions to banks, financial institutions and corporate clients.

- The risk analytics business line specifically focuses on building risk measurement models for financial institutions & banks as well as analytical models for corporate clients across a range of industries.

Key areas of responsibility :

- Engage with clients to understand specific problem areas and deficiencies, if any, pertaining to their risk measurement models and model risk management framework

- Conduct reviews of existing models established and assess appropriateness of model assumptions and statistical basis of the model

- Review input data used for risk models and controls around the data extraction and validation process

- Undertake development / validation of models across a wide range of disciplines, including models for credit risk (PD, LGD, EAD, CCF, credit rating etc.), market risk (VaR, PV01, expected shortfall etc.), operational risk (AMA models), liquidity risk (cash flow generation, LCR, NSFR, leverage etc.), IRRBB (modified duration, NII, MVE etc.) and Pillar 2 risks (credit concentration risk, strategic risk, reputational risk etc.)

- Develop stress testing models for all Pillar 1 and Pillar 2 risks

- Assist in risk system implementation of models developed, including development of business requirement documents, data mapping, system configuration, SIT and UAT

General requirements :

- Experience of 1- 4 years in risk model development, validation or equivalent risk analytical role in a consulting firm, financial institution

- Good knowledge of Basel II requirements and capital calculation methodology for at least one of credit risk, market risk or operational risk

- Hands-on experience on risk management platforms such as SAS, Oracle OFSAA, Misys Fusion Risk, SunGard etc. with knowledge of configuration of these systems

- Thorough understanding of financial instruments such as loans, bonds, swaps, options, deposits, T-bills, money market borrowings, exotics etc.

- Good understanding of quantitative techniques like Monte Carlo simulation / structured and unstructured statistical techniques / optimization routines

- Working knowledge of analytical techniques like clustering / multiple regression / logistic regression / discriminant analysis/ time series analysis etc.

Experience of having supported the implementation of models in one or more of the following systems will be a strong advantage :

- Credit risk management system

- Market risk management system

- Operational risk management system

- Asset liability management system

- Fund transfer pricing system

- Cost allocation and profitability system

- Superior communication skills with stakeholders at all levels of the internal organization and clientele

Academic qualifications & technical knowledge :

- MBA or equivalent Master's degree in Finance, Statistics, Economics or Mathematics from premier institutes required. Graduates (B.Tech / B.E) with relevant experience can also be considered.

- Professional certifications like CFA and FRM would be highly desirable

- Quantitative training and strong problem solving skills are necessary.

- Technology experience would be required in at least one statistical tool (SAS, R, MATLAB etc.) and programming knowledge (C++, Java etc. would be desirable.

- Experience in the following risk management systems would be an added advantage.

- SAS Risk Management for Banking (incl. SAS RD, SAS Banking DDS, SAS DI Studio, SAS BI tools etc.)

- Oracle OFSAA

- Murex market risk management system

- Fusion Risk suite of risk management systems from Misys

- SunGard risk management systems

Soft skills and desired characteristics :

- Ability to work comfortably at the highest levels of client organizations and interacting closely with high level executives in a range of environments

- Comfortable functioning in a broadly positioned role in a highly diverse service lines working across industry verticals. Must possess an impressive executive demeanor, a team oriented and collaborative approach, and excellent presentation skills, including strong oral and writing capabilities

- Committed, hardworking individuals willing to spend hours on research

- The individual must possess and demonstrate high integrity and credibility as perceived by all those with whom s/he will work

- Strong intellect coupled with proficient commercial instincts

- Diplomatic, flexible and have a good team approach.

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