AVP - Risk Management & Model Development

Roles and Responsibilities:

- Understanding of the model objectives and creating model development plan.

- Understanding the data availability, and doing model development and implementation feasibility study.

- Hands on work on data pull /modeling data creation and doing data treatment.

- Selecting the appropriate modeling method based on the objective of the model/ available model development software.

- Creating portfolio segmentation, model development plan.

- Developing model, guiding junior team member, building models as per standards, creating intermediate. documents and getting the work approved with stakeholders as per plan.

- Developing reports on newly developed modes using Out of time validation/ back testing / comparison with champion or external scores using appropriate model strength metrics.

- Writing model technical review documents, creating model implementation hand off plan.

Requirements:

- Masters/PhD in Statistics / Economics / Operations / Mathematics / Business Administration.

- Proven experience of independent advisory services in the area of regulatory and BAU statistical modeling for various banks and regulated organizations.

- Leading and guiding large regulatory and BAU modeling teams.

- Ability to interpret existing modelling methodologies and recommend alternative approaches to senior management.

- Experience of working on complex analytics / assignments/projects/engagements.

- Quantitative modeling background and should’ve preferably worked with commercial wholesale portfolios.

- Good understanding of Basel norms around data sufficiency, modeling methods, hands on experience on building the PD, LGD models ( Through the Cycle, Point of time, Stressed and unstressed portfolio).

- Knowledge of risk regulations in top markets to help develop the practice globally.