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13/03 Sayyad Suriya
Management Trainee at Pylon Management Consulting

Views:980 Applications:259 Rec. Actions:Recruiter Actions:245

Model Validation Role - Bank (1-9 yrs)

Bangalore Job Code: 902600

Qualification: B.Tech/ MBA/ MS

The role & responsibilities:

- Expertise in analytics, developing or validating statistical models within banking industry.

- Good understanding and experience in credit risk modeling, and/or stress testing analysis.

- Proficient in statistical and data analysis using data management and statistical software which includes SAS, R, Excel etc.

- Strong communication and project management skills.

- Experience in IFRS9/IRB regulations.

- Expertise in SAS/R/Python.

Responsibilities:

- Support GMV Associate manager/senior manager in performing an independent validation of new and existing credit risk models that are used in risk management, capital calculation, stress testing etc. The model scope includes credit loss forecasting models, credit grading models, credit application and behavioural scorecards, collection scorecards.

- Quantitative assessment of model performance via data evaluation and statistical testing based on both development sample and out of time sample.

- Assess the quality and adequacy of the data used in the model development.

- Replicate the model development analysis and performs quantitative test on model assumptions

- Construct the data used in the validation and ensure that the validation sample is representative of the model use population and the validation sample is in good quality

- Documentation of validation findings and communication of results to senior management and presentation to relevant committees.

- Review regulatory requirements and industry practice regarding the models.

- Assist Head of Model Validation in addressing concerns or questions relating to the models.

Women-friendly workplace:

Maternity and Paternity Benefits

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