Analyst - Non Traded Models Validation - BFS

Job Title : Non Traded Models Validation Analyst

Location : Noida

To successfully balance the following responsibilities :

1. Provide independent review (IR) and challenge of all quantitative and qualitative processes categorized as models (AIRB, IFRS9 Wholesale Credit Risk model, Stress Test etc.) under the MRM framework to a high degree of depth, as required by and detailed in the Bank's policies and standards. This role will be part of Group Risk IVU team.

2. Provide input to/support the governance and reporting processes related to model risk management.

3. Exposure/interaction with Model/Business Owners (e.g. wholesale portfolio) and gain business and regulatory insights

What will you be doing?

1. Independent review and challenge [80%] :

a. Work on independent review of models across different spectrum of retail and wholesale portfolios

- Capital Models - Models used to calculate Bank's capital requirement as per BASEL guidelines

- IFRS9 Models - International Financial Reporting Standard to calculate Expected Loss

- Stress Test Models - Climate Risk Stress Test, Internal Stress Test, Medium Term Plan, Prudential Regulation Authority (PRA) or Bank of England (BoE) Stress Test

- Diverse Banking Portfolios - for different banking products e.g. Wholesale (Corporate and Investment Bank) and Retail portfolios (Credit Card, Home loan etc.).

- Review regulatory requirements to ensure compliance with Basel III rules in IRB portfolios and support roll out portfolios moving to IRB.

b. Perform technical analysis and/or build alternative benchmarks to new and existing models, in line with the requirements set out in the bank's standards and policies.

2. Governance and Reporting [20%] :

a. Support the development and review conformance with appropriate model risk policies, including Group Model Risk policy.

What we're looking for :

- Masters in Statistics, Mathematics, Economics, Physics, Operational Research, Finance, Financial Engineering

- Knowledge of CRD IV, familiarity with the IFRS9 ECL estimation framework and Stress Test framework

- Strong analytical and business skills

- Sharp focus on gaps/issues identification and passionate about problem solving

- Strong communication (Oral as well as written), listening and articulation skills

- An ability to identify and analyse appropriate external data sources for model development or validation.

Skills that will help you in the role :

- Good understanding of banking environment and credit risk related products.

- Familiarity with FRB/PRA regulations and IFRS9 accounting standards.

Where will you be working?

- Noida