Assistant Manager/Manager - Risk Model - BFS

Assistant Manager/Manager - Risk Model

Experience: 2-7 Years

Responsibilities :

- 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.

- Align with Model Risk Management on modeling and validation practices and have periodic check-ins with them.

- Create a culture of accountability and strict quality control of the data integrity and modeling process

- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk

- Ability to build key relationships with finance and business teams

- Must be able to present technical matters in a way that is meaningful to the audience

- Ability to influence people and empower team members to be proactive and focused on partnerships and results:

- Developing econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes which 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.

- Align with Model Risk Management on modeling and validation practices and have periodic check-ins with them.

- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk.

Requirements :

- 2 - 7 Years of experience in Credit Risk Modeling, Risk Model Development, Risk Model Validation, Risk Modeling.

- Experience in SAS is Mandatory.

- Experience in CCAR Modeling to OCC, FRB and FDIC is preferred.