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Team Lead at Black Turtle
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Assistant Manager/Manager/AVP - Model Development - PPNR Team - Bank (2-8 yrs)
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.
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