AVP - FP&A CCAR Model Development - BFSI/KPO/BPO

FP&A CCAR Model Developer AVP || Diversity

We have an excellent opportunity with one of our MNC company for FP&A CCAR Model Developer - AVP position Mumbai location.

Looking for more Diversity candidates

Shift timings: EMEA Shifts

Job Description:

Comprehensive Capital Analysis Review (CCAR) is an annual US Federal Reserve regulatory submission. It is used to ensure that institutions have robust, forward-looking capital planning processes that account for their unique risks and sufficient capital to continue operations throughout times of economic and financial stress. As part of CCAR, the Federal Reserve evaluates institutions' capital adequacy, internal capital adequacy assessment processes, and their plans to make capital distributions, such as dividend payments or stock repurchases. CCAR includes a supervisory stress test to support the Federal Reserve's analysis of the adequacy of the firms' capital. Boards of directors of the institutions are required each year to review and approve capital plans before submitting them to the Federal Reserve.

Being the Statistical modeler, the incumbent will be responsible for end-to-end responsibility of PPNR models (Statistical & Conceptual soundness) for a particular business / functions, sharing periodic updates to Senior Governance Group, presenting models to Federal Reserve / OCC / FDIC / Model Risk Management and align PPNR models with organization's 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 (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 PPNR models 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

Other requirements:

- 6-8 years of relevant statistical /econometrics experience in financial services

- Masters / PhD in quantitative discipline such as Statistics, Economics or related discipline

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

- Experience in developing econometric and Panel regression models.

- Extensive hands-on experience in programming and modeling using SAS.

- Excellent presentation skills; the ability to translate complex financial schedules into meaningful presentations is critical; demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making

- Ability to build key cross functional and cross business relationships

- Broad and deep understanding of accounting principles, investment, accrual products and corporate finance concepts

- Demonstrated leadership and team management skills and ability to managing multiple projects and deadlines