Manager/Assistant Vice President - Credit Risk Modelling - CCAR - BFS

Job Description :

Position : Manager/AVP

Experience : 4-12 Years

Location : Bangalore

This position will focus on the model performance tracking, production and model implementation of CCAR/DFAST/ICAAP and CECL stress loss models for Client .

Roles and Responsibility :

- Obtain/implement model from model development to production environment, and obtain updated data from countries/regions and/or Risk Architecture to run primary & benchmark CCAR models.

- Document all production related activities around production/model implementation/performance tracking.

- Run quarterly model prediction performance back-testing and sensitivity analysis against accuracy and other required model performance triggers for production models.

- When performance shifts are observed, perform diagnostic analytics around drivers on the models

- Document & review base and stress CCAR model performance with assigned countries & regions quarterly and assist countries and regions in their use of the CCAR/DFAST models in business activities such as loss forecasting/benchmarking their loss forecasts and assessing the risk of various lending segments (i.e., Risk Appetite)

- Review model performance and drivers of any gaps or deterioration in model performance with MRM, IRMO, and regional and country risk managers

- Perform full, formal annual model review to follow MRM's guidance and standards.

Qualifications :

- Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or other highly technical quantitative discipline

Skills: 

- 5+ years experience in developing or tracking quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling of consumer credit risk.

- Expertise in successfully executing either the model development or model performance tracking components of an analytical, econometric modeling-driven stress loss process

- Expertise in running model implementation and model tracking processes across consumer products and/or business lines - international a plus

- Demonstrated ability to lead and coordinate with analytic vendor/supplier/consulting

- Expertise in delivering technical presentations to countries, regions, internal modeling oversight functions, external regulators (e.g., FRB, OCC, FDIC), and internal audit functions

- Strong capabilities in communicating technical information verbally and in writing to both technical and non-technical audiences