15/09 Sayyad Suriya
Management Trainee at Pylon Management Consulting

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Wholesale Model Monitoring Role - Bank (1-5 yrs)

Bangalore Job Code: 848317

Qualification : B.Tech/ MBA/MS

Job Description:

Role & Responsibilities:

Strategy:

- Understand credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the Corporate, Institutional, and Commercial book and monitor the model performance based on the regulatory/internal requirements

- Investigate if there is any breach in the test and coordinate with the modeller on the remediation plan, or action as required

- Work on the end-to-end model monitoring (PD, EAD, LGD) cycle, from data gathering and the documentation and presentations to key stakeholders

- Maintain and continue to upgrade the monitoring process based on modeller, model users and regulatory feedback

Business:

- Ensure to test the model performance in order to determine whether the model outputs are fit for purposes not only for regulatory capital and ECL estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design

Processes:

- Participate in relevant model monitoring implementation and its user acceptance test to ensure monitoring tests are appropriately implemented

People and Talent:

- Lead through example and demonstrate the banks culture and values.

Risk Management:

- Understand Model related uncertainty risk such as data, regulatory, business strategy, that have a direct impact on the models performance.

Governance:

- Ensure the monitoring process meet the Model Risk Policy and Model Family Standards

- Provide timely and high-quality responses to both internal and external queries and requests

Regulatory & Business Conduct:

- Display exemplary conduct and live by the Groups Values and Code of Conduct.

- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.

- Be compliant to home and host regulatory requirements on modelling

Key Stakeholders:

- Group Model Validation, Model Sponsors and Owners, CIC Business & Credit, Model Risk Management

Skills Required:

- SAS/R/Python

- Experience in quantitative analytics with a clear ability for understanding the model and analysing data

- Analytical and independent thinker with strong written and verbal communication skills

- Knowledge of banking risk management and Basel/CRR/EBA/IFRS 9 would be a plus.

- Model Monitoring/Model Validation/Model Implementation/Model Calibration etc in Credit Risk.

Interested Candidates can reach out me at 8639958988

Women-friendly workplace:

Maternity and Paternity Benefits

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