Posted By
Posted in
Banking & Finance
Job Code
484392
Looking For Con/Sr.Con(Minimum 2.5 yrs Exp in CCAR Testing and Model Validation, Investment Banking)-Mumbai Location
Position : Con/ Sr Con- CCAR Testing & Model Validation
Location: Mumbai
Responsibilities :
CCAR Testing & Model Validation :
- Uplift model validation documents in order to comply with SR 11-7 standards for a large global investment bank.
- Executed scripts that perform a sensitivity analysis of various risk factors that affect the dollar price of the model.
- Validate various macroeconomic models such as vintage decomposition, delinquency movement matrix, and short term roll rate models.
- Extensively involved in documentation review, conceptual soundness of model development, model replication in SAS, backtesting, providing and presenting recommendations to the client.
- Analyse and presented the impact of these models on future forecasts under upside/downside macroeconomic scenarios.
- Performed BRD traceability tying back all the requirements set forth, as part of the CCAR initiative, to the regulations and CCAR principles defined by the FED.
- Constructed a requirement repository of all Business Requirements that were implemented as part of CCAR.
- Recognized gaps and overlaps in client's CCAR process and highlighted them to each work stream, within the CCAR process.
- Validated Liquidity Stress Models for a large bank in the UK and for a firm in India
- Performed various analysis that would help these firms manage their liquidity better and thus be compliant with external (regulations) and internal policies.
- Constant interactions with the liquidity and treasury teams to verify the procedures and concepts behind the model development.
- Validated Liquidity Stress Models for a large bank in the UK and for a firm in India
- Performed various analysis that would help these firms manage their liquidity better and thus be compliant with external (regulations) and internal policies.
- Constant interactions with the liquidity and treasury teams to verify the procedures and concepts behind the model development.
Derivatives Valuation Centre Bangalore
Performed Valuations of Structured OTC Derivatives - Currency, Interest Rates and credit derivatives for multiple clients using tools such as Super Derivatives, FINCAD, Oberon, and internal models
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Posted By
Posted in
Banking & Finance
Job Code
484392