AVP - Treasury/Econometric Forecasting - US Banking

Looking for candidates for a AVP (6-10 yrs) role with a US Banking MNC in Mumbai. Candidates should have experience in development of econometric forecasting models, Risk Management forecasts, Asset and Liability Management.

Business/ Department

Objectives:

The Asset and Liability Management Unit is responsible for developing sophisticated forecasting models used for business forecasting and as input to the annual regulatory forecasting (CCAR) process.

Core Responsibilities:

- Development of econometric forecasting models for all significant balance sheet assets and liabilities.

- Development, documentation and testing of product models needed as input to Financial Planning and Risk Management forecasts.

- Evaluate the impact on the product models of various scenarios used for Comprehensive Capital Analysis & Review (CCAR) submissions

- Coordinate with specific front-line business FP&A teams to drive Planning/CCAR process for Consumer, ICG and O&T businesses.

- Coordinate with local risk management to insure product models accurately reflect risk exposure

- 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

Key Deliverables:

- Development of econometric forecasting models for all significant balance sheet assets and liabilities.

- 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