Consultant/Assistant Manager/Manager - Model Validation - Financial Risk Management

Financial Risk Management (FRM) Model Validation (Consultant/AM/Manager)

LOCATION - Mumbai

EXPERIENCE - 4-9 years

MUST HAVE - Experience in Credit Risk Model Development, model validation, model monitoring with a GSIB

ROLE AND RESPONSIBILITY :

- Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks

Good understanding of :

- Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/ linear regressions including assumptions and limitations, scorecard calibration

- Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis

- Market Risk Model Development or Validation experience covering VaR modeling and validation/back-testing, historical full revaluation, Taylor var approximation (delta gamma method, Monte Carlo) for linear instruments and derivative products

- Pricing (linear instruments and Derivatives)

- Curve construction and calibration

- MR Capital computation (Standardised approach/IMA/FRTB)

- Economic Capital computation

- Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines

- Time Series analysis and forecasting

- Knowledge around ML techniques such as Random Forest, Decision Trees, and various other Supervised and Unsupervised Learning algorithms (this is optional)

- Knowledge around regulations by BCBS, US FED, FINMA, PRA, BAFIN, OECD

- Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory)

- Preparation of model documentation, model monitoring plans, model validation reports