Consultant at Pylon Management Consulting Pvt Ltd
Views:136 Applications:36 Rec. Actions:Recruiter Actions:0
Associate Manager/Manager - CCAR Modeling - SAS/SQL - BFSI (5-9 yrs)
Associate Manager/Manager - CCAR Modeling - SAS, SQL - BFSI
Job Description :
The responsibility includes but not limited to the following activities :
- Obtain and conduct QA/QC on all data required for CCAR/CECL/Decision Scores model development
- Develop segment and/or account level CCAR/CECL/Decision Scores models. Developing Underwriting, Line management, Account management, Collection and Recovery models.
- Executing the above models in compliance with GCCFRP and in accordance with the Model Development Procedures within Risk
- Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed.
- Perform all required tests (e.g. sensitivity and back-testing). Deliver comprehensive model documentation and perform implementation tests
- Work closely with cross functional teams, including business stakeholders, model validation and governance teams, and model implementation team
- Work closely with policy managers in establishing the swap set analysis and PnL optimization using the models.
- Create story boards, presentations and project plans for discussions with senior management
- Support the regulatory submissions for Citi on CCAR/CECL and work on adhoc requests from Business and Independent Risk
- Prepare responses/presentations to regulatory agencies on all CCAR models built
- Train and mentor junior modeler in developing innovative models in compliance with policies and procedures
- Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
- 5+ years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
- At least 3 years experience in developing credit risk/marketing scorecard with At least 1 year experience leading a risk/marketing model development or a credit policy using segmentation
- Hands on experience of Risk Model Development procedures and concepts and ability to manage own projects fairly independently
- Experience with dynamics of unsecured products a strong plus
- Active role in performing some analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, and model production implementation)
- Ability to work effectively in cross functional teams, including country/regions business stakeholders, model validation and governance teams, and model implementation team
- Good understanding of regulatory requirements
- Exposure to various stress loss modeling approaches at the segment or account level preferred
- Able to communicate technical information verbally and in writing to both technical and non-technical audiences
- Mentor/manage 1 2 member team
Technical Skills :
- Strong technical skills in modeling procedures is required (regression, time series, decision tree, linear/nonlinear optimization etc.)
- Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint
- Basic programming skills in Python or R is required
- Strong communication skills to present technical information verbally and in writing to both technical and non-technical audiences is required.
- Ability to influence others in technical matters is required.
- On-the-job Python coding experience is preferred.
- Machine Learning knowledge is preferred
- Big Data concepts understanding is preferred