Vice President - Statistical Modeler - BFS

VP_Quant_ALM

This is a quantitative analyst role within QA Asset & Liability management (ALM) with responsibility for :

- Leading, developing and maintaining a strong team of statisticians and quantitative developers in Noida, contributing to the overall deliverables for the global QA ALM team.

- Design, build and deliver robust and production quality statistical models and code within a unified library for use within Treasury.

- Lead and mentor others in progressing along the full model development life-cycle

- Assist with the systematic review and on-going assessment of existing models for forecasting asset and liability behavioural balances.

- Support quantification funding and capital plans, forward looking impairments and pricing of liquidity and funding risk associated with the bank's asset / liability profile.

- Support model development for quantification of interest rate risk on the banking book.

Key Accountabilities :

- Ensure that the QA-ALM team in Noida delivers on time, and to a high quality, modelling requirements from Treasury and Risk

- Deliver high quality documentation and presentations to support and maintain model and library use.

- Facilitate and challenge discussion of modelling options with senior model owners.

- Assist with development of statistical models for projection of balance sheet under different macro-economic scenarios.

Stakeholder Management and Leadership :

- Key stakeholders include Treasury and business leaders across One of the key pre-requisites is to ensure that the model meets their requirements and ensure that they agree with the modelling assumptions and understand the associated risks.

- This requires an ability to communicate complex modelling ideas clearly and also to understand portfolio dynamics from a commercial and business point of view.

- Additionally, this is a model lead role where strong leadership and mentoring skills are needed to develop and motivate more junior quantitative analysts.

Decision-making and Problem Solving :

- All aspects of this role will require complex decision making and problem solving skills, both from a statistical modelling and coding point of view and also from a business point of view, such as how should a model be used to inform decision making and working with model owner for prioritisation of different modelling features versus delivery timelines.

Risk and Control Objective :

- Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards.

Person Specification :

Essential Skills/Basic Qualifications :

- Post graduate degree in a quantitative discipline with a statistics component, preferably to PhD level.

- Strong industry experience in quantitative finance.

- Strong understanding of statistical and econometric modelling techniques - e.g. time series analysis, regression models and various estimation techniques.

- Able to deliver to tight deadlines on quantitative projects, and manage the end to end process of model delivery.

- Proficient in Python (preferred) or R.

- Experience in leading a technical team

Desirable skills/Preferred Qualifications :

- Strong experience in designing and developing statistical and econometric models.

- Experience in analysing large volumes of data including cleaning and subsequent pattern identification and clustering.

- Knowledge of EAD, PPNR and stress testing modelling.

- Knowledge of relevant regulatory guidelines for CCAR, IFRS9 and IRRBB.