AVP/Manager - Model Validation/Market/Credit Risk Models - Investment Bank

AVP/Manager - Model Validation/Market/Credit Risk Models

Model Development:

- Model Validation ( Credit risk/ Market risk Models)

- We are hiring for a leading Investment Bank based at Delhi/ NCR/ Mumbai/ Hyderabad

- Experience : 4-7 yrs in Model Validation/Monitoring for financial Services with good SAS/ SQL & Python programming skills

- Education : B.Tech/ Masters / MBA ; in Economics, Mathematics, Statistics, Finance, Computer science with good knowledge in of financial mathematics including stochastic calculus, Statistical Modeling/ Non-Linear Modeling/ Regression Models/ IRBB models / IFRS 9 models and time-series modeling

Role & Responsibilities :

- Validate credit risk models/Regulatory Models/ Loan Models across life cycle of various portfolio (PD/LGD/EAD/Scorecard) etc

- This includes regulatory models (capital/impairment), credit decisioning and stress testing models

- Provide independent review (IR) and challenge of all quantitative and qualitative processes categorized as models (Liquidity Risk and Funding, other Treasury models, Operational Risk, Stress Test etc.)

- Provide input to/support the governance and reporting processes related to model risk management.

- Work on independent review of models across different spectrum of retail and wholesale portfolios

- Liquidity Risk and Funding models. These models are used for liquidity buffer management, focused on measuring liquidity required and available funding in regulatory-prescribed or internal scenarios.

- Operational Risk models: Models leveraged for projection of Operational Risk losses.

- Stress Test Models -Internal Stress Test, Prudential Regulation Authority (PRA)

- Support the development and review conformance with appropriate policies