AVP - Risk Analytics - Model Development

We are hiring for Risk Analytics team in Mumbai. Ideally who is expert on SAS and who have a good exposure to credit risk model development [Pd, LGD, EAD model development]

Role Outline/Job Summary :

Job Description :

Position Title : Assistant Vice President

Business Group : GMRA

Location : Mumbai

Role & Responsibilities

Business/ Department :

Objectives :

This position within Global Consumer Risk Management will develop CCAR/DFAST stress loss models for international unsecured (e.g., credit cards, charge cards, installment loans, check-driven lines of credit, ready credit, overdraft protection lines)

Core Responsibilities :

- Obtain and QA/QC all data required for CCAR stress loss model development.

- Build international primary CCAR stress loss models (e.g., Interthix, account-level PD models)

- Build international benchmark CCAR stress loss models (e.g. segmented econometric models)

- Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility)

- Recalibrate all models annually to incorporate latest data

- Deliver presentations to regulatory constituents on all CCAR models built

- Work close with countries, regions, GMO, & CCAR coordinator(s) during modeling.

- Redevelop as model performance or aging triggers are tripped

Day-to-Day Responsibilities :

Key Deliverable :

- Experience with the dynamics of unsecured products with international credit cards and installment loans a strong plus.

- Active role in performing some of the analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconsilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation

- Exposure to employing Argus' Look Ahead (formerly Interthinx/Stategic Analytics) Dual Time Dynamics modeling techniques and software a significant value-add.

Qualifications :

Required :

Education : Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or other highly technical quantitative discipline

Experience :

- 7+ years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST) - inlcuding both pure model development and analytics to support overlays to compensate for data and model limitations.

- Knowledge of dynamics of unsecured products - with international credit cards and installment loans a strong plus

- Successfully performing manyl of the analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconsilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation

- Candidates who have performed comparable functions to those listed above for significant, complex financial institutions at a consulting company, vendor, or service provider would be strongly considered as well