Consultant/Senior Consultant - CCAR Testing & Model Validation - Investment Banking

Looking For Con/Sr.Con(Minimum 2.5 yrs Exp in CCAR Testing and Model Validation, Investment Banking)-Mumbai Location

Position : Con/ Sr Con- CCAR Testing & Model Validation

Location: Mumbai

Responsibilities :

CCAR Testing & Model Validation :

- Uplift model validation documents in order to comply with SR 11-7 standards for a large global investment bank.

- Executed scripts that perform a sensitivity analysis of various risk factors that affect the dollar price of the model.

- Validate various macroeconomic models such as vintage decomposition, delinquency movement matrix, and short term roll rate models.

- Extensively involved in documentation review, conceptual soundness of model development, model replication in SAS, backtesting, providing and presenting recommendations to the client.

- Analyse and presented the impact of these models on future forecasts under upside/downside macroeconomic scenarios.

- Performed BRD traceability tying back all the requirements set forth, as part of the CCAR initiative, to the regulations and CCAR principles defined by the FED.

- Constructed a requirement repository of all Business Requirements that were implemented as part of CCAR.

- Recognized gaps and overlaps in client's CCAR process and highlighted them to each work stream, within the CCAR process.

- Validated Liquidity Stress Models for a large bank in the UK and for a firm in India

- Performed various analysis that would help these firms manage their liquidity better and thus be compliant with external (regulations) and internal policies.

- Constant interactions with the liquidity and treasury teams to verify the procedures and concepts behind the model development.

- Validated Liquidity Stress Models for a large bank in the UK and for a firm in India

- Performed various analysis that would help these firms manage their liquidity better and thus be compliant with external (regulations) and internal policies.

- Constant interactions with the liquidity and treasury teams to verify the procedures and concepts behind the model development.

Derivatives Valuation Centre Bangalore

Performed Valuations of Structured OTC Derivatives - Currency, Interest Rates and credit derivatives for multiple clients using tools such as Super Derivatives, FINCAD, Oberon, and internal models