Vice President - CCAR Modeling - BFS

Role: Vice President - CCAR(Comprehensive Capital Analysis & Review ) Modeling

Exp: 8 yrs to 14 yrs

Position: VP

Location: Mumbai

CTC: 3200000 p.a - 37000000 p.a

Roles & Responsibility:

Strong Statistics Background (M.Sc / M.A - Stat / Eco)

Extensive experience into Model development

- Development of econometric forecasting models for all significant balance sheet assets and liabilities for capital and business planning purposes. This includes the calculation of Net Interest Income (- NII- ), which is also referred to as Net Interest Revenue (- NIR- ), Interest Rate Exposure (- IRE- ), Economic Value Sensitivity (- EVS- ), and other associated interest rate risk metrics.

- Development, documentation and testing of product models needed as input to Financial Planning and Risk Management forecasts.

- Evaluate the impact on the product models of various scenarios used for Comprehensive Capital Analysis & Review (CCAR) submissions

- Create a culture of accountability and strict quality control of the data integrity and modeling process

- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk

- Expertise in Stochastic Modeling Approaches, Modern Risk Management Theory and Modern Financial Theory

- Experience developing econometric and multivariate regression models. Good understanding of Seemingly Unrelated regression, Panel Data regression and Fixed effect models

- Extensive hands-on experience in programming and modeling using SAS

Gaurav Jaiswal