Market Risk Role - CCAR Model Validation - Consulting Firm

Job Description :

CCAR MOdels

We are hiring for a leading Management Consulting organization based at Mumbai

Position :

Experience : 3 - 8 years in Quant/derivative pricing Model Validation/ Model review - For financial Services with good Python, SAS programming skills

Education : B.tech/ Masters / MBA in Economics, Mathematics, Statistics, Finance, Computer science

Role & Responsibilities :

- Prior experience in developing/validating the quantitative and expert judgement PPNR models for CCAR

- Development of econometric forecasting models for key balance sheet and income statement line items for capital and business planning purposes.

For example - Net Interest Income (NII), Non-Interest Revenue (Non-NIR), etc.

- Experience in design of Statistical models using regression (linear/logistic/panel), optimization, time series, survival modelling techniques

- Strong understanding of different model methodologies/ algorithms and diagnostic tools for testing model robustness, sensitivity, and stability

- Proficient with data and quantitative analysis to support modelling decisions

- Understanding of US banking regulations on Capital, Provisioning - Basel, CCAR, CECL preferred