Job Description: - Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks Good understanding of: - Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/linear regressions including assumptions and limitations, scorecard calibration - Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis - Market Risk Model Development or Validation experience covering - VaR modeling and validation/back-testing (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products - Pricing (linear instruments and Derivatives) - Curve construction and calibration - MR Capital computation (Standardised approach/IMA/FRTB) - Economic Capital computation Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines Time Series analysis and forecasting Knowledge around ML techniques such as Random Forest, Decision Trees, and various other Supervised and Unsupervised Learning algorithms (this is optional) Knowledge around regulations by BCBS, US FED, FINMA, PRA, BAFIN, OECD - Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory) - Preparation of model documentation, model monitoring plans, model validation reports - Should be open for travelling - Should have good communication skills (English) - Experience can be between 2-5 years

Bangalore

Model Validation Role - BFS 

Job Description for Model Validation Role - BFS  in Promaynov Advisory Services in  Bangalore for (2-5) years of experience. Apply Now!