Assistant Vice President - Decision Sciences - Regulatory & Risk Analytics - Captive Bank

AVP - Decision Sciences - Regulatory & Risk Analytics - Captive Bank

Business : Regulatory & Risk Analytics Role Profile

Role Title: Assistant Vice President - Decision Sciences

GAC - Regulatory and Risk Analytics

(Wholesale Credit and Market Risk Model Validation) GHRS Job Code

Role Approval - New - Existing Position Classification :

Role Holder's Name : To be hired Current Global Career Band : GCB 5.1

Location : Bangalore, India Proposed Global

Career Band : GCB5.1

Immediate Supervisor's Name & Role Title : Lead AVP, GAC - Regulatory and Risk Analytics (Wholesale Credit and Market Risk Model Validation)

Customer Segment & Location :

Entity : HDPI

Functional Area : Group Regulatory & Risk Analytics, Wholesale Credit and Market Risk

Department : GAC Regulatory & Risk Analytics, Wholesale Credit and Market Risk Model Validation

Description of Role :

- Global Analytics Centre (GAC) within data Processing India Ltd provides analytics support to various group businesses and functions under Group. Typical deliverables include data analysis, providing analytics insights, model development, validation, calibration, strategy development, monitoring and reporting, information management and business intelligence.

- The deliverables form the basis for strategic planning by the senior management for businesses and enables effective decision making to satisfy business needs and requirements along with addressing unforeseen challenges.

- GAC - Regulatory Risk Analytics, Wholesale Credit and Market Risk (WCMR) department within GAC is an extended team of Group - Regulatory & Risk Analytics for Wholesale Credit & Market Risk portfolio across Group & Region to provide analytical support in Model Development & Implementation, Model Validation & Monitoring, Portfolio Management &Capital Allocation and Project Management & Policy Designing.

- The Model Validation Team within GAC Regulatory Risk Analytics, Wholesale Credit and Market Risk (WCMR) department provides support in validation and monitoring of BASEL governed Wholesale Credit & Traded Risk Models across Group & Regions. The team also responsible for validation and monitoring of Stress Testing, Economic Capital and IFRS 9 Models, regulatory reporting and process re-engineering to enhance efficiency.

Role Purpose (overall high level summary of the role) :

- The AVP - Decision Sciences, Wholesale Credit and Market Risk Model Validation role is responsible for meeting the regulatory requirements on model risk management &governance by clearly articulating model validation &monitoring standards.

- This role is also responsible for implementing the validation and monitoring standards of all types of models for wholesale credit risk measurement for Group and Regions.

- In addition to model validation and monitoring, this role is also responsible to understand the requirement from the business and provide analytical support to them to facilitate model governance

- This role will identify the areas to enhance efficiency through process reengineering and automation.

- Also ensure compliance with audit requirements by performing audit checks as required by process, in line with business process requirements and consistent with Group and Company policies and standards.

Principal Accountabilities :

Key activities and decision making areas :

- Lead model validation and monitoring projects globally to harmonize and coordinate with regional activities.

- Functionally drive the validation methodologies and design the global validation framework

- Engage with credit and businesses to manage model risk.

- Attention to time schedule and resource planning, participate to panel meetings and discussion with business experts, write good quality and comprehensive documentation.

- Maintains internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators.

- The job-holder's responsibilities cover the model validation of all models included in the Wholesale Credit Risk function

Customers / Stakeholders :

Group and Regional stakeholders in RRA, WCMR space covering :

- WMR RRA Model Validations Team across Group and Regions

- Regulatory and Risk Managers in WMR

- IT, Independent Review, Model Performance Review Panel

- CMB, Global Banking and Global Markets business lines

Leadership & Teamwork :

- Needs to manage functionally / administratively or both a team of Analysts and Managers

- Promote collaboration with Group and Regional teams to achieve business objectives

- Engage with senior management, model owners and model sponsors as well as model reviewers and approvers

- Participate to global initiatives as well as cross-risk projects

Major Challenges (The challenges inherent in the role that require a continual test of the role holder's abilities) :

- Risk analytics is highly technical and fast-developing owing to the regulatory pressure of Basel 2, 2.5 and 3 and the level of competition in financial markets, which demands ever more accurate and reliable measures of risk.

- The current market conditions, in particular, imply significant changes with regard to the understanding of the risk factors underlying different portfolios.

- The jobholder must maintain a good understanding and be capable of adopting new approaches and be able to explain them to non-technical counterparts.

- The jobholder needs to demonstrate an expertise in highly technical areas (e.g. statistical analysis, stochastic calculus) as well as deep understanding of credit business and global market products. Good understanding of market risk and traded credit risk would be an advantage.

- Many Global wholesale portfolios are low default portfolios for which default/loss data are scarce. This requires the jobholder to be able to propose unconventional solutions that help to overcome these natural limitations. Owing to the global scarcity of analytics resources, the jobholder will be subject to the ongoing pressure of deadlines for project completion.

- The role has global reach through the scope of risk models provided to the business. The jobholder is required to work in an environment of significant ambiguity with autonomy, dealing with major issues for which there is no clear solution whilst still being able to provide judgment and clear direction.

- The jobholder is expected to demonstrate a high level of technical and managerial expertise.

Observance of Internal Controls (Compliance Policy / FIM requirements) :

- Maintains internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators.

Role Dimensions (e.g. balance sheet size, lending/expenditure limits, size/volume of transactions, budget. in USD- 000)

- The job-holder's responsibilities cover the model Validation and Monitoring of all modelsin the Wholesale Credit Portfolio across Group

Knowledge & Experience / Qualifications (For the role - not the role holder. Minimum requirements of the role.)

Qualifications :

Masters in any of the following fields :

- Economics

- Engineering (or B-tech with relevance experience)

- Stats/Maths

- MS / MBA in Finance

Experience :

- Minimum 8 years of professional experience in analytical services

- Prior experience in model development and validation in wholesale credit and (or) traded risk domain

- Understanding of regulatory implications and relevance

- Management of project teams, both direct and matrix

Skills :

- Highly focused on project delivery, attention to detail

- Excellent written and verbal communication skills

- Strong collaborative, influencing and team building skills

- Strong analytical and problem solving skills, open minded, flexible, pragmatic

- Good estimating and planning skills

- Strong financial management and budget control skills

- Enthusiastic, displaying energy, drive and stamina

- Willing to work with colleagues in other areas/time zones where appropriate

- Strong knowledge of wholesale credit business and wholesale credit products as well as Basel 2 and Basel 3 framework

- Open personality and effective communication skills, ability and flexibility to work in an international team

- Ability to write clear and understandable documents