17/09 Rekha Sharma
Associate Consultant at Black Turtle

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Credit Risk/Model Validation Role - BFSI/BPO/Consulting Firm (2-7 yrs)

Bangalore Job Code: 744381

This is w.r.t. your cv posted in job portal, currently, we are hiring for top-notch MNC in Bangalore.

Key engagement responsibilities would be :

1. Model development of one or more of CCAR/DFAST/ IFRS 9 modelling and PPNR including Stress Testing, Balance Sheet forecasting, Deposit Modelling/PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behavioral models)

2.Advanced statistical and quantitative modeling skills (linear regression, logistic regression, ARIMA modeling, Markov Chain, Merton Model, CHAID and other data mining/predictive modeling skills)

3. Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models.

4. Experience in validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc.,

5. Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc.,

6. Strong understanding of regulations and guidelines like IAS 39, IFRS9, SR 11-7 or other equivalent guidelines for model risk management.

7. Programming skills: SAS, R, Python. Expertise is one of this programming language is a must. Programming ability in C++ is preferred.

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Women-friendly workplace:

Maternity and Paternity Benefits

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