Credit Risk/Model Risk Management Role - Model Validation

JD - MRM Validation

- Model Risk Management - Bangalore (MRM) is an independent oversight function and is part of the Global Consumer organization. The Bangalore center is one of the five MRM locations across the globe and is responsible for development and maintenance of Model Risk Management Policy and procedures, for evaluation and approval of very high, high and medium high risk models used in global consumer risk management.

- The position will be part of the Model Risk Management, India (Bangalore) team. His/her primary role is to evaluate conceptual soundness and model performance of loss forecasting, balance forecasting, stress testing, PPNR, Loan Loss Reserves (LLR), and macro-economic forecasting models that are developed by other Global Consumer Teams as part of bank's Comprehensive Capital Analysis and Review (CCAR) submissions.

- The roles are very critical to the organization, as MRM's authorization on the use of the CCAR models are based on the reviewer's evaluation results. The reviewer will adhere to the Model Risk Management Policy when evaluating models and ensure models, documentation, and monitoring MIS are compliant with applicable policies.

This role extends across all bank segments and legal entities, giving the successful applicant exposure to the Consumer Bank.

Specifically the role entails:

- Individual will be responsible for evaluating conceptual soundness of Loss forecasting models used for CCAR

- Model evaluation will be as per the requirements outlined in the MRM Policies and Guidance

- The evaluation also requires writing a comprehensive validation report based on his / her judgment of the evaluation results

- The individual is also expected to contribute in developing/enhancing MRM Policy and Guidances

- He / She will support MRM senior management team in the US - be it policy related work or model evaluations tracking and management

- Strong analytical skills in conducting sophisticate statistical analysis using bureau/vendor data, customer performance data and marketing data to solve business problems.

- The ability to interpret and analyse large volumes of data, and at times complex information

- Excellent written and oral communication skills are a mandate. Ability to recognizing information and patterns in data that are not obvious, and focusing analytical efforts in pursuit of explanations, isolations of cause and effect

- Preferably, good programming skills in advanced SAS and SQL in mainframe, UNIX and PC environments would be an advantage

- The successful applicant will have a proven track record of evaluating models, as per the regulatory directives

In addition, the successful applicant should have - 

- Understanding of use of statistical models in making business decisions

- A good understanding of control frameworks and governance within a financial institution

Candidates who can demonstrate the following will be considered to have an advantage - 

- Be comfortable working with, and articulating complex matters to senior managers

- Good time management skills

- Flexibility in approach and thought process