Associate Recruitment Consultant at Aurion
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Model Validation Role - Credit Risk - Investment Bank (3-14 yrs)
Job Description :
- Ideal candidate should be well versed in credit risk validation and maintenance of models (PD, LGD and EAD) for wholesale and retail credit portfolio of the bank as per regulatory guidelines.
- Exposure to banking book and understanding of trading book products and knowledge on BASEL/IFRS guidelines is highly desirable. Candidate should have excellent business communication skills.
- Candidates with Post-graduation degree in a quantitative discipline (Statistics, Economics, Mathematics & engineering) from Tier I/II colleges. Additional certification in machine learning techniques or estimation of credit risk parameters will be preferred.
Technical Requirements :
- Experience into Credit Risk Analytics with hands on experience in SAS/R/VBA along with SQL, Statistical techniques (Types of Regressions, PCA, Markov chain, Transition matrix- etc), Optimization Technique(Linear programing, Convex optimization).
- Model Monitoring Role
- The ongoing monitoring of the model is a task that must be done in all phases of the model lifecycle (development, implementation, use). In order to track and measure the efficiency and adequacy of models, the model monitor conducts continuous analysis and controls as an early warning both initially at implementation (for new models) and regularly as a part of the model's ongoing monitoring.
For the purpose of these tests, the model monitor is responsible to:
- Backtest & re-calibrate each model designed and developed by the business, hence a thorough understanding of model development under BASEL& IFRS norms is critical.
Choose adequate model outcome analysis techniques such as:
- Model estimates vs realized values (e.g. back-testing for some models);
- Stability of model outcomes;
- Benchmarking: model output vs output generated by comparable models or applications;
- Sensitivity analysis to test robustness.
- Analyze the model output and the related components (if applicable);
- Model assumptions and limitations validity;
- Results of benchmarking and sensitivity analysis;
- Accuracy of model's characteristics;(ROC/AUC, KS statistics, accuracy ratio, Gini coefficient etc)
- Monitor over time in order to follow up trends and detect deviations;
- Establish thresholds and action plan for major deviations;
- Report this analysis to the different model stakeholders.
- Implement a governance to monitor the corrective actions
Furthermore, as part of the model ongoing monitoring phase, the model monitor should abide by the group standards on ongoing monitoring that establish guidelines on performance assessment processes including type, scope and range of tests and appropriateness of responses to any problems that may appear.
- Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics, or Finance, or a track record of performance that demonstrates this ability.
- Background in a quantitative role within risk management (credit), finance and/or project management in a financial institution
- Excellent knowledge and understanding of a wide variety of model development and validation statistical techniques covering primarily credit and market risk.
- Significant experience in either model development or in model validation, hands-on experience in model development, model specification, model selection, model testing and validation
- Knowledge of computing and scripting languages
- Able to produce high quality written communication including reviews of models, risk policies,
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