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Consultant at Pylon Management Consulting Pvt Ltd
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Assistant Manager - Credit Risk/Model Validation - IFRS/IRB/AIRB (1-6 yrs)
Looking for professionals having 1 - 6 years of experience in Credit risk analytics with strong experience in Credit risk modeling, model validation, model monitoring and strong hands on expertise in IFRS/IRB/AIRB.
RESPONSIBILITIES :
- Support GMV senior manager in performing an independent validation of new and existing credit risk models that are used in risk management, capital calculation, stress testing etc. The model scope includes credit loss forecasting models, credit grading models, credit application and behavioural scorecards, collection scorecards.
- Quantitative assessment of model performance via data evaluation and statistical testing based on both development sample and out of time sample.
- Assess the quality and adequacy of the data used in the model development.
- Replicate the model development analysis and performs quantitative test on model assumptions
- Construct the data used in the validation and ensure that the validation sample is representative of the model use population and the validation sample is in good quality
- Documentation of validation findings and communication of results to senior management and presentation to relevant committees.
- Review regulatory requirements and industry practice regarding the models.
- Assist Head of Model Validation in addressing concerns or questions relating to the models.
Governance :
- Submission of model validation reports to relevant Model Assessment Committee
- Attend Credit Model Assessment
Regulatory & Business Conduct :
- Display exemplary conduct and live by the Groups Values and Code of Conduct.
- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
- Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
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