Specialist - Model Development - Market Risk - Global Bank

Specialist - Market Risk - Model Development - Global Bank

Key & Responsibilities :

- Review documentation of existing stress testing models by line of business to gain understanding of key drivers and underlying forecast methodologies

- Decompose model level drivers into significant drivers and less significant drivers and independently establish relationships between significant drivers and model outputs using suitable statistical techniques

- Develop alternate 'simplified' models using significant drivers with an acceptable tradeoff between speed and accuracy

- Test models developed and document them

- Prepare validation documentation and submit for validation - coordinate with model review team to get the simplified models reviewed and approved as per policy

- Productionalize the simplified models and implement them using suitable automation tools (eg Python)

- Run the new simplified models periodically for CCAR and ad-hoc scenarios

- Consolidate and present results of stress test for senior management

- Technical skills Required like Python/R/EXCEL macros etc.

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