Associate consultant at Careernet
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Analyst/Senior Analyst/Manager/AVP/Senior AVP - Credit Risk Modeling - Wholesale/Retail Domain (1-16 yrs)
Minimum 1+ years of experience of financial model validation/development experience in Risk Management in Wholesale/Retail domain or related areas
- Master's/Bachelor's degree in Mathematics/Statistics/Economics/Engineering/Computer Science/Management or any other quantitative fields of study
- Proficiency in SAS / R, Python MS Office tools like Excel & PowerPoint
- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value
- Candidate should have worked on either development or validation of econometric forecasting PPNR models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income ("NII"), Non Interest Revenue ("Non-NIR"), Interest Rate Exposure ("IRE"), Economic Value Sensitivity ("EVS"), and other associated PPNR/Interest rate risk metrics. Model development/validation experience in other Finance and Credit Risk areas is also desirable.
- Candidate should have understanding of statistical techniques such as Time Series Analysis, Panel Regression, Error Correction Models, Seemingly Unrelated regression, Co-integration, and Linear/Logistic Regression.
- Candidate should be able to effectively steer stakeholder conversations with FLoD including Model developers/Sponsors/Business, etc. He/she should be able to effectively contribute in developing or maintaining a comprehensive model validation framework that adopts a consistent approach to data quality and modelling methods, audit, back test, tracking, Annual/Semi Annual/Quarterly validations. This is critical in regulating, monitoring and reducing the model risks.
- Candidate should have well-rounded understanding of various other mandatory regulatory expectations such as CCAR -FRB/OCC/PRA ACS Stress Test guidelines and SR 11-7. Person should be familiar with concepts of time series modelling and its use in different stress testing exercises.
- Candidate should have good understanding of Wholesale/Retail - AIRB/CCAR models as well as basic understanding of different wholesale portfolios such as Corporate, NBFI's, SME, MME and Large and global enterprises etc. or Retail Portfolios such as Cards, Mortgages, Payrolls, PILs, DDA Deposits, Time Deposits, etc. He/she should be able to validate models used for different regulatory perspective such as OCC/FRB, EBA Guidelines and PRA regulations.