Practice Lead at Elixir Web Solutions
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CCAR/DFAST Role - Banking (4-10 yrs)
CCAR/DFAST Role - Banking
JOB DESCRIPTION :
Skills required : CCAR/DFAST
We are looking out for modelers who are ready to accept the challenges and have expertise on CCAR modeling along with Strong SAS Experience.
- WE ARE FOCUSING ON Virtual joinings and interviews
Education: MSC/M.tech/MA in Stat/Eco/Maths are required
1. CCAR 2019 pre-implementation- Reviewed segment level Balance allocation models for mortgage portfolio
2. CCAR 2019 post-implementation-Reviewed segment level LCE models during post-implementation for cards portfolio
3. CCAR 2020 pre-implementation-Reviewed loan level PD models for mortgage portfolio
- Validation of the models was done using traditional regression techniques as well as machine learning methodologies.
- Validation scorecard models where the model performance is judged based model strength, stability and accuracy.
- Validation strategy models where the model performance is judged based on unit bad rate, RAM metric and BCR.
- Pre-implementation validation of a fraud risk model which uses ANN technique to capture fraud anomalies in an online digital platform.
- CCAR PPNR Model Validations (Asset Finance Models, Securitized CMBS & CLO Models, Mortgage Servicing Model, IG & HY Bonds Secondary Trading Models etc.)
- CCAR Operational Risk Champion Model Periodic Review
- Treasury Funding Model Validation
Level - Manager & above
Location - Mumbai
Work timings - 11-8 pm/ 12 noon - 9 pm.
- Credit risk modeling, Modeling, predictive analytics, logistic, regression, pd, ead, lgd models, validation and monitoring of modeling, CCAR, dfast, complex modeling experience is required.