02/12 Vikas Sharma
Associate Consultant at Black Turtle

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AVP/VP - Model Validation/Statistical Modeling - Anti Money Laundering/Assets Liability Management (6-12 yrs)

Noida Job Code: 771144

- The person filling the role is responsible for being model validator for a wide range of IRB and IFRS9 models as well as support other model validation efforts in MTP, IST BoE stress testing frameworks or Anti Money Laundering models etc.

- Provide independent review (IR) and challenge of different aspects of model (conceptual soundness, model performance etc.) across different model types (capital, impairment, liquidity, stress testing etc.) to a high degree of depth, as required by and detailed in the Banks policies and standards. This role will be part of Group Risk IVU team.

- Provide input to/support the governance and reporting processes related to model risk management.

- Work on independent review of diversified set of wholesale models IFRS9, Capital, Liquidity or Stress Testing, Operation, Treasury, Finance models

- Perform technical analyses, data analyses, benchmarking, build challenger models (if needed) to support the validation review and challenge process

- Must be able to challenge others and be open to challenge. Should seek direction on which issues are material but have own views on this also.

- Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions

- Self-study of developments in modelling and validation techniques;

- Should have wholesale portfolio knowledge

- Support team members in model validation and review their work

- Strong analytical skills with experience in developing, validating and risk management of models

- Significant experience of coding in R/SQL/C++/Python or equivalent language, including handling large datasets and writing functions.

- Good communication and influencing skills, ability to produce high quality written communication for technical and non-technical audiences.

- Highly organised in terms of documentation and follow through.

- Advanced understanding of the quantitative techniques used in developing and validating PD, LGD, EAD, Machine Learning, VAR, Low Default Portfolio modelling etc.

- An ability to identify and analyse appropriate external data sources for model development or validation.

- Should have relevant experience in analytical industry. Hands-on experience in the use of statistical packages, such as SAS, R, Python. Expert user of Microsoft Excel and other Microsoft Office tools.

- Preferred - Experience in a modeller/validator role in the Wholesale industry. Experience in Machine Learning models

- Beyond risk management, knowledge in financial projection, capital management and treasury

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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