HR Recruiter at New Avenues Consulting Pvt. Ltd.
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Modeller/Validator Role - Liquidity Risk Models - Bank (4-8 yrs)
Mandatory Skills are:
- Liquidity Risk Models
- Model Validation
- Credit Risk Model
- Stress Testing
What will you be doing?
- Work on independent review of models across different spectrum of retail and wholesale portfolios
- Liquidity Risk Models - Models (LCR, ILAAP) used to calculate Bank's liquidity requirement and survival horizon in adherence to Liquidity Regulatory Requirements
- Interest Rate Risk in Banking Book (IRRBB) Models - models used for management and supervision of interest rate risk
- Stress Test Models - Climate Risk Stress Test, Internal Stress Test, Medium Term Plan, Prudential Regulation Authority (PRA) or Bank of England (BoE) Stress Test
- Capital Models - Models used to calculate Bank's capital requirement as per BASEL guidelines
- IFRS9 Models - International Financial Reporting Standard to calculate Expected Loss
- Diverse Banking Portfolios - for different banking products e.g. Wholesale (Corporate and Investment Bank) and Retail portfolios (Credit Card, Home loan etc.).
- Review regulatory requirements to ensure compliance with Basel III rules in IRB portfolios and support roll out portfolios moving to IRB.
- Perform technical analysis and/or build alternative benchmarks to new and existing models, in line with the requirements set out in the bank's standards and policies.
- Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions
- Wholesale portfolio knowledge
What we're looking for?
- Experience in a modeller/validator role in the Wholesale industry
- Strong analytical skills with experience in developing, validating and risk management of models
- Significant experience of coding in R/Python. Expert user of Microsoft Excel and other Microsoft Office tools.
- Good communication and influencing skills, ability to produce high quality written communication for technical and non-technical audiences.
- Sharp focus on gaps/issues identification and passionate about problem solving
- An ability to identify and analyse appropriate external data sources for model development or validation.
- Masters in Statistics, Mathematics, Finance, Economics, Operational Research, Physics
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