11/12 Asma Shaikh
Team Lead at Black Turtle

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

Mumbai Job Code: 774625

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.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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