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02/12 Asma Shaikh
Team Lead at Black Turtle

Views:867 Applications:52 Rec. Actions:Recruiter Actions:48

Assistant Manager/Manager/AVP - Model Development - PPNR Team - Bank (2-8 yrs)

Mumbai Job Code: 771275

currently hiring for client based in mumbai

Co Name: Leading Banking Mnc

Designation: AM/Manager/AVP

Exp: Exp in Credit Risk Model Development.

Role:

- Being the member of the PPNR team, the incumbent will be responsible for end-to-end responsibility of PPNR models (Statistical & Functional), sharing periodic updates to Senior Governance Group, presenting models to Federal Reserve / OCC / FDIC / Model Risk Management and align PPNR models with base operating plan.

The detailed responsibilities includes:

- Development of econometric forecasting 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 interest rate risk metrics.

- Deep understanding of statistical techniques such as Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration.

- Steering stakeholder conversations with Businesses, Finance, Treasury and Risk to seek their sign-offs on Champion models.

- Manage the Segmentation, Risk Identification, overlay discussions with Businesses and Finance teams.

- Responsible for reviewing and timely submission of Model development documentation (MDDTs) for entire PPNR modeling landscape to Model Risk Management.

The detailed responsibilities includes:

- Development of econometric forecasting 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 interest rate risk metrics.

- Deep understanding of statistical techniques such as Panel

- Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration.

- Steering stakeholder conversations with Businesses, Finance,

- Treasury and Risk to seek their sign-offs on Champion models.

- Manage the Segmentation, Risk Identification, overlay discussions with Businesses and Finance teams.

- Responsible for reviewing and timely submission of Model development documentation (MDDTs) for entire PPNR modeling landscape to Model Risk Management.

Women-friendly workplace:

Maternity and Paternity Benefits

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