Credit Risk Model Development/Analytics - Stress Testing - Bank

Build stress testing models for different portfolios, execute stress testing for different region, produce stress test results with associated risk analysis and management information and to ensure that stress tests are conducted. The incumbent will work closely with the members of the stress testing teams within the utility and will also be a point of contact between the utility and the rest of Risk Strategy. The incumbent will support model build, analysis and review of complex results set describing the performance of the bank.

Become subject matter expert in portfolio data sourcing for Retail Portfolio for the purpose of model building

Understand the data metrics, data requirement of the model and accordingly sourcing the data from warehouse

Gain understanding of Retail portfolio & Stress testing Model based on Global Methodology and of model building

At a later stage, build stress testing model for Retail Portfolio (other portfolios if needed) following Global standard, analyse the results, bring out the economic and business interpretation of the results and should be able to make suggestion and provide solution at each step of modelling

Build the process in SAS platform which will enable the execution of model calibration

Collate, test and check independently sourced economics data (forecast and stress) and assess its robustness and fitness for purpose.

Understand the trends of various economic parameters and delve into the possible reason for the change in those trends

Understand the dynamics of countries and portfolios in concern

Interact with different region and work closely with the stakeholder for successful model development

Document the model calibration processes

Support model execution

Automate the high volume processes supporting Group, Region and Site

Drive standardization of analysis processes to gain efficiency

Ensure the timeliness, accuracy and reasonableness of results produced by the process

Enhance reporting and analytical processes to improve understanding of the drivers of stress test outcomes

Develop and maintain effective working relationships with the partners

Demonstrate a commitment to excel and perform to the highest standards

Skills/Experience Required:

Post Graduate in mathematics/ statistics/ economics or Bachelors degree in technology or MBA

Experience of working in model development will be preferred

Technical skills (SAS, VBA, EXCEL etc)

Excellent communication skills; being able to "translate" between the two worlds is the major thing in the day to day work.

Proven ability to produce clear summaries and reports from complex factual information, including both written documentation and graphical material

Good organizational, analytical, problem-solving and project management skills.

Preferably, familiarity with a balance sheet and set of accounts

Preferably, familiarity with bank stress testing including loss & risk estimation techniques is preferred