Market Risk/Credit Risk Model Validation In this role, you will be responsible for model testing, independent validation & documentation - for a BFS client in the US Responsibilities : - You will be working with the independent model validation function of a large banking client and will involve end-to-end validation of risk and regulatory models across business functions, and development of challenger models as necessary. - It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors and client model validators. - You will be expected to work hands-on to validate models, build and lead validation teams, and bring in thought leadership and domain/quantitative best practices to present effective challenge to the models. Your activities will include, but will not be limited to the following : - Independent model validation, especially comprehensive model validation within 2nd line of defense, using SR 11-7 or similar guidelines - Exhaustive model validation will include conceptual assessment of model's use, methodology, assumptions, limitations and on-going monitoring and control, model's outcome analysis - Development of benchmark models may be required - Prepare model validation report summarizing findings and provide recommendations Relevant experience : - Relevant experience in independent model validation of market risk models (e.g., VaR, SVaR), market risk stress testing models, counterparty credit risk models (e.g., PFE, CVA), derivatives valuation models (PDE methods, simulation methods, etc.), interest rate term structure / volatility models - Effective challenge to model development (1st line), design and interpretation of model effectiveness tests, model validation report writing, etc. - Understanding of and experience in regulatory risk modeling/validation - SR 11-7, Basel's market risk final rules, etc. - Experience in FRTB projects will be added advantage Credit risk model validation : In this role, you will be responsible to work with the Enterprise's Model Risk Management Teams for model validation, implementation & documentation - for a BFS client in North America Responsibilities : - You will be working with the Model Risk Management team specifically on independent model validation for credit risk models, involving end-to-end validation of risk and regulatory models across business functions of a large banking client. - It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors, and client model validators. Your activities will include, but will not be limited to the following : - Work hands-on to validate models and bring in thought leadership and domain/quantitative best practices to present effective challenge to the models - End-to-end independent validation of credit risk and regulatory models, including but not limited to - PD, LGD, EAD, Stress Testing, CECL, Credit Scorecards, AML and counter fraud models etc. - Conduct first time (baseline), change based and annual validation - Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use - Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines - Validation for the source data quality, forecast data quality as well as change management - Development of benchmark models using statistical/Machine Learning technique

Bangalore

Gurgaon/Gurugram

Kolkata

Market Risk/Credit Risk Model Validation Role - BFS 

Market Risk/Credit Risk Model Validation Role - BFS  ,Job Description for Market Risk/Credit Risk Model Validation Role - BFS  in Black Turtle in  Bangalore Gurgaon/Gurugram Kolkata for (3-12) years of experience. Apply Now!

Job Description for Market Risk/Credit Risk Model Validation Role - BFS  in Black Turtle in  Bangalore Gurgaon/Gurugram Kolkata for (3-12) years of experience. Apply Now!