11/09 Javeria Siddiqui
HR Recruiter at Black Turtle

Views:687 Applications:50 Rec. Actions:Recruiter Actions:33

Statistical Modeler - BFS (2-8 yrs)

Bangalore Job Code: 742216

Key engagement responsibilities would be :

- Model development of one or more of CCAR/DFAST/ IFRS 9 modelling and PPNR including Stress Testing, Balance Sheet forecasting, Deposit Modelling/PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behavioral models)

- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)

- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model- spredictive power and its robustness uncertainty through the development and use of alternative benchmark models.

- Experience in validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc.,

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives). Sound knowledge of various simulation techniques like Monte Carlo Simulation etc.,

- Strong understanding of regulations and guidelines like IAS 39, IFRS9, SR 11-7 or other equivalent guidelines for model risk management.

- Programming skills: SAS, R, Python. Expertise is one of these programming language is a must. Programming ability in C++ is preferred.

- Responsible for key deliverable and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery

Women-friendly workplace:

Maternity and Paternity Benefits

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