Chief Manager/AVP - Model Validation - Bank

CM/AVP-Model Validation for a Leading Bank

Education from a Premier Institute

Responsibilities

- Responsible for owning / maintaining and enhancing Model Validation Policy of the Bank.

- Ability to build statistical or quantitative models to be used in forecasting, risk measurement, segmentation.

- Validate various risk scoring models used in rating models of Wholesale, Mid Markets and Retail.

- Conduct quantitative and qualitative tests on PD Calibration, Discriminatory Power of the models, Sensitivity of parameters, Rating Migration test. Understanding of CRISIL Risk Assessment Model (RAM) framework.

- Engage in qualitative & quantitative review and assessment of Credit Rating models and other risk models at regular frequency.

- Conduct validation of Market Risk Models - VaR, Sensitivity, Capital Charge Models

- Conduct validation of Operational Risk Models for risk scoring, risk measurement and internal models for capital charge.

- Set out the process whereby weaknesses and potential improvements are reported and rectifications/improvements may be implemented into the model design.

- Perform benchmarking, back-test and other statistical test to check the precision and stability of the models.

- Write model review dossiers to be presented to Business users, Regulators, Auditors.

- Responsible for addressing queries of Management Committees, Regulators and Auditors.

Required Skills

- Experience in developing solutions for quantitative analysis using advances analytics and data manipulation software like SAS, R, Python

- Previous experience in Model validation, Credit Risk model validation covering Probability of Default, Loss given Default, Exposure at Default. Understanding of CRISIL Risk Assessment Model (RAM) framework.

- Understanding of Model Risk Management covering governance, inventory, documentation, validation, versioning and ability to assess model risk.

- Masters in quantitative subjects like engineer, statistics, mathematics.