Manager - Model Validation - Market/Credit Risk - BFSI

Manager - Model Validation - Market/Credit Risk - BFSI (5-8 yrs)

- Advanced degree in mathematics, statistics, econometrics, financial engineering or computer science;

- At least 5 years of quantitative modeling aptitude/experience with a large global financial institution or consulting firm;

- Managing multiple junior analysts in the execution of the quantitative analyses supporting each project-related deliverable;

- Previous professional experience developing or validating statistical models used for CCAR/DFAST capital stress testing (Pre-Provision Net Revenue models, operational risk models), retail and wholesale credit loss projections (PD, LGD, EAD), Anti-Money Laundering (AML), market risk models (Value at Risk models, interest rate risk models, counterparty credit exposure models) etc.;

- Proven track record in the development of extensive (80-100 page-plus) model validation and model development technical documentation for consumption by internal validation group and regulatory entities; very strong technical writing skills is a must;

- Demonstrated knowledge of database management and manipulation including knowledge of SQL;

- Advanced programming skills in at least one supported statistical programming environment (SAS, R or Python) with intermediate programming skills in at least two;

We are recruiting for a Exec/ Senior/Asst. Manager/Manager in the Statistical & quantitative Modeling team. Your responsibilities will include:

- Work with our clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to model development/validation, credit policy review, credit origination process review.

- Key engagement responsibilities would be :

- Model development of one or more of CCAR/DFAST/ IFRS 9 modelling and PPNR including Stress Testing, Balance Sheet forecasting, Deposit Modelling/PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behaviouralmodels)

- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)

- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model- spredictive power and its robustness uncertainty through the development and use of alternative benchmark models.

- Experience in validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc.,

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte CarloSimulation etc.,

- Strong understanding of regulations and guidelines like IAS 39, IFRS9, SR 11-7 or other equivalent guidelines for model risk management.

- Programming skills: SAS, R, Python. Expertise is one of these programming language is a must. Programming ability in C++ is preferred.

- Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery