Manager - CCAR Unsecured Model Development - BFSI

Job Description

Designation: Manager - CCAR Unsecured Model Development

Location: Mumbai Goregaon

Experience: 3-7 yrs

CTC: 20-25LPA

Shift Time: 1pm to 10pm (dropping facility is available)

Job Description:

Business/Department Objectives:

This position within Global Consumer Risk Management will develop CCAR/DFAST stress loss models for international unsecured (e.g., credit cards, charge cards, installment loans, check-driven lines of credit, ready credit, and overdraft protection lines)

Core Responsibilities:

Obtain and QA/QC all data required for CCAR stress loss model development

Build international primary CCAR stress loss models (e.g., Interthix and account-level PD models)

Build international benchmark CCAR stress loss models (e.g., segmented econometric models)

Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility)

Recalibrate all models annually to incorporate latest data

Deliver presentations to regulatory constituents on all CCAR models built

Key Deliverables:

Experience with the dynamics of unsecured products - with international credit cards and installment loans a strong plus

Active role in performing some of the analytical components of an econometric modeling-driven stress loss process (data collection, data integrity, QA/QC/reconsilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation

Exposure to employing Argus\' LookAhead (formerly Interthinx/Stategic Analytics)

Dual Time Dynamics modeling techniques and software a significant value-add

Qualifications

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

Experience:

4+ years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST) - inlcuding both pure model development and analytics to support overlays to compensate for data and model limitation is required

Candidates who have performed comparable functions to those listed above for significant, complex financial institutions at a consulting company, vendor, or service provider would be strongly considered as well

Able to communicate technical information verbally and in writing to both technical and non-technical audience

Prerna