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01/04 Nidhi
HR Recruiter at New Avenues Consulting Pvt. Ltd.

Views:88 Applications:32 Rec. Actions:Recruiter Actions:15

Modeller/Validator Role - Liquidity Risk Models - Bank (4-8 yrs)

Noida Job Code: 909504

Mandatory Skills are:

- Liquidity Risk Models

- Model Validation

- Credit Risk Model

- Basel

- 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

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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