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27/01 Dhanya Maniyath
Recruitment Sourcing Manager at Allegis

Views:444 Applications:67 Rec. Actions:Recruiter Actions:41

Assistant Vice President - IFRS9 Model - BFSI (5-12 yrs)

Bangalore Job Code: 1212032

- Minimum 6+ years of experience of financial model validation/development experience in Risk Management in Retail domain.

- Master's / Bachelor's degree in Mathematics/Statistics/Economic/Engineering/Computer Science/Management or any other quantitative fields of study.

- Proficiency in SAS / R, Python MS Office tools like Excel & PowerPoint.

- Proven expertise in using statistical algorithms for solving diverse business challenges and creating significant business value.

- Candidate should have worked on Retail AIRB/IFRS9 models, BAU scorecards, Credit Risk strategies and have basic understanding of Retail Model Development and Validation. Candidate should have basis understanding of different Retail portfolios such as Credit Cards, Mortgage, PIL, etc. He/she should be able to validate models used for different regulatory perspective such as OCC/FRB, EBA Guidelines and PRA regulations.

- Candidate should have good understanding of various stress testing models such as IFRS9/PRA (Loss Forecast and Business Finance Models) and various other mandatory regulatory expectations for US such as OCC guidelines and OCC 11-7. Person should be familiar with concept of time series modelling and its use in different stress testing exercises.

- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends

- Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model.

- Excellent written and verbal communication skills. Ability to develop and effectively communicate complex concepts and ideas.

In addition, include any other functional requirements that are applicable for this role.

Further Information can be obtained from: Contact Person :

Additional Information /Specific Skills (If Any):

- Candidate should have worked on Retail AIRB/IFRS9 models, BAU scorecards, Credit Risk strategies and have basic understanding of Retail Model Development and Validation. He/she should be able to validate models used for different regulatory perspective such as OCC/FRB, EBA Guidelines and PRA regulations.


- Additionally, Candidate should have strong understanding of various stress testing models such as IFRS9/PRA (Loss Forecast and Business Finance Models) and various other mandatory regulatory expectations for US such as OCC guidelines and OCC 11-7. Person should be familiar with different Retail PD/LGD/EAD model development methodology and its validation for different retail portfolios such as Credit Cards, Mortgage, PIL, etc. He/she should be familiar with the concept of logistic/linear regression, time series modelling and its application.

- A successful candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model. Candidates should have good communication skills and should be able to independently write good reports highlighting model risks for senior management. Person should be familiar with Python, R, SAS, SQL.

Women-friendly workplace:

Maternity and Paternity Benefits

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