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28/05 Monica Shinde
Recruiter at Pylon Management Consulting

Views:1415 Applications:166 Rec. Actions:Recruiter Actions:164

CCAR Modelling Role - Bank (2-6 yrs)

Bangalore Job Code: 825125

- Looking for professionals having strong experience in Model validation, Model monitoring, review, model governance etc using SAS.

- Understand IFRS 9 account level and portfolio level models for secured and unsecured retail and wholesale portfolios.

- Understand IRB (Basel internal rating based) models; including the components such as PD, LGD, EAD for secured and unsecured retail portfolios

- Understand the difference between different IFRS 9 approaches i.e. sophisticated account level vs. simplified portfolio level

- Understand the requirements of periodic model performance assessment and monitoring

- Understand the IFRS 9 model and IRB model functionalities and the data required to perform period model performance assessment and monitoring

- Own IFRS 9 and IRB portfolios and perform periodic model monitoring

- Present IFRS 9 and IRB monitoring results to internal risk committees and senior management

- Perform exploratory analyses to answer committee and senior management questions

- As IFRS 9 or IRB models are redeveloped, update the model monitoring procedure to reflect the redeveloped models.

- Work closely with model development team to understand model functionality and translate model development codes into model monitoring codes.

- Maintain and continue to upgrade the monitoring process based on modeler, model users, and regulatory feedback

Women-friendly workplace:

Maternity and Paternity Benefits

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