AVP - Credit Risk & Model Development - Investment Bank

AVP-Credit risk and Model Development

We have openings for AVP-Credit Risk Model Development with one of the leading investment banks in Mumbai.

Key Responsibilities :

- Obtain and QA/QC all data required for CCAR stress loss model development.

- Build international primary CCAR stress loss models (e.g., Interthix, account-level PD models)

- Build international benchmark CCAR stress loss models (e.g. segmented econometric models)

- Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility)

- Recalibrate all models annually to incorporate latest data

- Deliver presentations to regulatory constituents on all CCAR models built

- Work close with countries, regions, GMO, & CCAR coordinator(s) during modeling.

- Redevelop as model performance or aging triggers are tripped

- Experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST) inlcuding both pure model development and analytics to support overlays to compensate for data and model limitations.

Milda