Recruiter at Pylon Management Consulting
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CCAR Modelling Role - Bank (2-6 yrs)
- 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