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Management Trainee at Pylon Management Consulting
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Credit Risk Model Validation Role - Bank (6-10 yrs)
Qualification: B.Tech/MBA/M.Sc
Job description:
- Support GMV senior manager in performing an independent validation of new and existing credit risk models that are used in risk management, capital calculation, stress testing etc. The model scope includes credit loss forecasting models, credit grading models, credit application and behavioural scorecards, collection scorecards.
- Quantitative assessment of model performance via data evaluation and statistical testing based on both development sample and out of time sample.
- Assess the quality and adequacy of the data used in the model development.
- Replicate the model development analysis and performs quantitative test on model assumptions
- Construct the data used in the validation and ensure that the validation sample is representative of the model use population and the validation sample is in good quality
- Documentation of validation findings and communication of results to senior management and presentation to relevant committees.
- Review regulatory requirements and industry practice regarding the models.
- Assist Head of Model Validation in addressing concerns or questions relating to the models.
Governance
- Submission of model validation reports to relevant Model Assessment Committee
- Attend Credit Model Assessment (where requested).
Technical competencies:
- Expertise in analytics, developing or validating statistical models within banking industry.
- Good understanding and experience in credit risk modelling, and/or stress testing analysis.
- Proficient in statistical and data analysis using data management and statistical software which includes SAS, R, Excel etc.
- Strong communication and project management skills.
- Strong focus on quality control and attention to detail
- Knowledge of banking data and IT infrastructure, including data management and data quality control
- Effective presentation and business engagement skills at senior executive level.
- Experience in IFRS 9 / IRB regulations( Mandatory)
Interested candidates can reach out to me at 8639958988
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