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Director - Market Risk Model Validation/Credit Risk Model Validation - Big4 (14-20 yrs)
Director - Market Risk Model Validation/Credit Risk Model Validation
We have an Opening with one of the Big 4 and PFB the required JD for that :
Key engagement responsibilities would be :
- Model development/validation/audit/review primarily for one or more credit loss forecasting models in either retail or wholesale domain primarily for IRB models as well as for IFRS9/CECL/CCAR/DFAST reporting including PD/EAD/LGD component models.
- Validation process involves understanding of the relevant regulatory requirements, development document, testing and benchmarking using SAS, R or Python and report writing.
- Assist with other model development/validation activities in Underwriting scorecard, Credit Scoring, behavioral models, economic scenario models or automation activities related to validation when required
- Model validation including assessing 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 and compliance assessment against the relevant regulatory standards
Job Requirements :
Mandatory Skills :
Qualifications :
- Advanced degree in Math, Statistics, Economics or any other Analytical disciplines
- Any Graduate + MBA in finance with relevant experience/exposure.
Additional certifications :
- Professional Certification such as FRM, CFA preferred
- Director will be working in the Risk Management/Analytics division in large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred
Experience range : 14-19 Years
Preferred Skills :
- Programming skills: SAS (primary, minimum requirement), Python (secondary) and R (tertiary).
- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)
- Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL
- Excellent written and verbal communication skills
- Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, and ethical standards and values
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