IRRBB Role - Model Validation/Model Development - Big4

IRRBB role - Big4 - Bangalore / Mumbai / Gurgaon

Model Validation, Model Development (Liquidity Risk, IRRBB): 3-8 years of experience.

- Proven experience in liquidity risk, risk modeling or model validation. Assess the model's conceptual soundness and methodology. Models - Liquidity Risk Models (LCR, NSFR, ILAAP), Interest Rate Risk in Banking Book (IRRBB) Models, Stress Test Models etc. Produce high quality model validation reports, with a particular focus on noting limitations, weakness and assumptions.

Understanding of Interest rate risk Metrics like NII (Net Interest Income), EVE (Economic Value of Equity), Basis risk, option risk etc. is required. Behavioralisation of products, prepayment risk etc.

- Strong understanding of regulations and guidelines like SR 11-7 or other equivalent guidelines for model risk management.

- Assess the model's conceptual soundness and methodology.

- Check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as qualitative or expert adjustments etc.

- Review outcome, impact, or benchmark analysis, or develop/ validate a benchmark model (as applicable).

- Assess model risk, perform model robustness analysis, and identify and evaluate model limitations.

- Programming skills like: SAS, R, Python. Expertise in at least one of these programming languages would be an added advantage. Fair understanding of SQL.

- Proficient in Microsoft Word, Excel, Visio, PowerPoint and Latex