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25/10 Rashmi M
Senior Consultant at Elixir Web Solutions

Views:1310 Applications:50 Rec. Actions:Recruiter Actions:29

AVP/Vice President - Statistical Model Development - BFS (7-14 yrs)

Mumbai Job Code: 504572

Job Description :

Comprehensive Capital Analysis Review (CCAR) is a semi-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.

As a part of the CCAR Team, the AVP/VP will manage all CCAR initiatives and submissions through data capture, consolidation, transformation, reconciliation, and analysis. The responsibilities include :

- Development of econometric forecasting models for all significant balance sheet assets and liabilities for capital and business planning purposes. This includes the calculation of Net Interest Income ( NII ), which is also referred to as Net Interest Revenue (- NIR- ), Interest Rate Exposure ( IRE ), Economic Value Sensitivity ( EVS ), and other associated interest rate risk metrics.

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

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

- 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 the consistent approach to data quality and modeling methods, audit, backtest, tracking, annual validation. This is critical in reducing the model operating risk

- Coordinate COE FP&A activities for CCAR, including liaising with business units, risk, and treasury

- Present stress test and other scenarios to corporate FP&A senior management

- 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

- Highly motivated, participative team player with a change agent mentality that can provide leadership

- Ability to influence people and empower team members to be proactive and focused on partnerships and results

Qualifications :

Other requirements:

- 7 - 14 years of relevant finance/business/accounting/statistical experience in financial services

- MBA/Masters in Economics, Finance, Accounting or related discipline

- Expertise in Stochastic Modeling Approaches, Modern Risk Management Theory and Modern Financial Theory

- Experience developing econometric and multivariate regression models. Good understanding of Seemingly Unrelated regression, Panel Data regression, and Fixed effect 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

- Must be able to present technical matters in a way that is meaningful to the audience

- 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

- Experience in model validation, documentation, and tracking

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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