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29/07 Dheeraj Walia
CEO at Steps

Views:6500 Applications:160 Rec. Actions:Recruiter Actions:13

AVP/Associate Director - Credit Risk Model Validation - Bank (6-12 yrs)

Mumbai Job Code: 726093

Position : AVP/Associate Director-Credit Risk Model Validation

Responsibilities :

- Responsible for owning/maintaining and enhancing Model Validation Policy of the Bank.

- Ability to build statistical or quantitative models to be used in forecasting, risk measurement, segmentation.

- Validate various risk scoring models used in rating models of Wholesale, Mid Markets, and Retail.

- Conduct quantitative and qualitative tests on PD Calibration, Discriminatory Power of the models, Sensitivity of parameters, Rating Migration test. Understanding of CRISIL Risk Assessment Model (RAM) framework.

- Engage in the qualitative & quantitative review and assessment of Credit Rating models and other risk models at regular frequency.

- Conduct validation of Market Risk Models - VaR, Sensitivity, Capital Charge Models

- Conduct validation of Operational Risk Models for risk scoring, risk measurement and internal models for capital charge.

- Set out the process whereby weaknesses and potential improvements are reported and rectifications/improvements may be implemented into the model design.

- Perform benchmarking, back-test and another statistical test to check the precision and stability of the models.

- Write model review dossiers to be presented to Business users, Regulators, Auditors.

- Responsible for addressing queries of Management Committees, Regulators and Auditors.
 
Required Skills :

- Experience in developing solutions for quantitative analysis using advanced analytics and data manipulation software like SAS, R, Python

- Previous experience in Model validation, Credit Risk model validation covering Probability of Default, Loss given Default, Exposure at Default. Understanding of CRISIL Risk Assessment Model (RAM) framework.

- Understanding of Model Risk Management covering governance, inventory, documentation, validation, versioning, and ability to assess model risk.

- Masters in quantitative subjects like the engineer, statistics, mathematics.

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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