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Iram Khan

Senior Consultant at Black Turtle

Last Login: 09 August 2023

Job Views:  
249
Applications:  33
Recruiter Actions:  24

Posted in

Consulting

Job Code

1052152

Manager - Credit Risk Modelling - IFRS 9 Model - Big4

7 - 12 Years.Mumbai
Posted 2 years ago
Posted 2 years ago

About the role

- Hiring for a leading BIG 4

- The role will involve working with our existing team of approximately 60 banking model specialists to build on our current portfolio of projects in credit risk modelling and validation and increase our capacity and offering in the area of credit risk stress testing. This will include:

- Performing a specialist review and audit of IFRs 9 credit risk models for our banking clients in the UK.

- Providing advice to banks relating to future generations of IFRS 9 models and IFRS 9 forecasting.

- Advice and support in relation to IRB capital models - providing model development services, performing CRR (capital requirements regulation) attestations, and advising our clients as they develop IRB capital models for the impending regulatory changes.

- Support to Model Validation teams - carrying out end-to end model validation activities for all kind of models - IFRS 9, IRB, Market Risk, Stress Testing and Algorithmic models. This will include assessment of conceptual soundness, challenging underlying assumptions, validating data and assessing limitations of the models, performing quantitative testing in SAS/R/Python/SQL, and delivering exhaustive reports.

- Advising our clients on credit risk stress testing modelling approaches including various econometric modelling techniques.

- Interaction with stakeholders including credit risk managers, model development teams, and internal stakeholders.

- Helping to develop our internal IFRS 9 and IRB banking propositions to take to market.

- Maintaining an up-to-date view of regulatory and industry developments in relation to credit risk regulatory capital modelling, IFRS 9 modelling and credit risk stress testing modelling, sharing this with the wider team and maintaining leading edge best practice in work performed.

Essential Experience:

- Strong knowledge of statistical and modelling concepts.

- Experience (if any) in credit risk modelling across Retail or Wholesale portfolios is an added bonus.

- Knowledge of SR 11-7 regulation by the US Federal Reserve and the IFRS 9 Standard by IASB.

Essential Skills:

- Exceptional communication skills, with particular emphasis on communicating technical complexity to both technical and non-technical audiences.

- Strong inter-personal skills including people management, sensitivity and relationship management skills.

- Ability to develop good client/internal client handling skills, including relationship-building skills that lead to increased consulting opportunities.

- Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.

- Strong pro-activeness and initiative to participate and entrepreneurial attitude towards work.

- Agility and flexibility to work in different types of projects.

- Strong commitment to both personal and team success.

- Openness and willingness to share ideas and knowledge.

Desirable skills/ attributes:

- First class undergraduate degree in technical subject plus first class postgraduate degree (such as MSc) in technical subject/area related to statistics, e.g., Economics/Econometrics/Statistics/Quantitative Finance).

- Knowledge of at least two of the following (or similar): SAS, SQL, R, Python

- Experience in writing good quality reports/model documentation at standards required for regulatory submission (as applicable).

- Familiarity with the IFRS 9, CRR (capital requirements regulation), PRA, EBA and Basel Committee regulations (as applicable).

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Posted By

user_img

Iram Khan

Senior Consultant at Black Turtle

Last Login: 09 August 2023

Job Views:  
249
Applications:  33
Recruiter Actions:  24

Posted in

Consulting

Job Code

1052152

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