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Associate Consultant at Black Turtle India Pvt Ltd
Views:354 Applications:75 Rec. Actions:Recruiter Actions:25
Financial Risk Management Role - BFSI (3-8 yrs)
Urgent requirements within Financial Risk Management (FRM) - Risk Advisory for the details highlighted below:
Job Description:
Must have skill set:
- Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks
Good understanding of:
- Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/ linear regressions including assumptions and limitations, scorecard calibration
- Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis
- Market Risk Model Development or Validation experience covering
- VaR modeling and validation/back-testing (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products
- Pricing (linear instruments and Derivatives)
- Curve construction and calibration
- MR Capital computation (Standardised approach/IMA/FRTB)
- Economic Capital computation
- Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines
- Time Series analysis and forecasting
- Knowledge around ML techniques such as Random Forest, Decision Trees, and various other Supervised and Unsupervised Learning algorithms (this is optional)
- Knowledge around regulations by BCBS, US FED, FINMA, PRA, BAFIN, OECD
- Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory)
- Preparation of model documentation, model monitoring plans, model validation reports
- Should be open for travelling
- Should have good communication skills (English)
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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