Credit Risk Role - Model Validation/Monitoring/Review - BFSI

About the Role :

Independent Model Review

- To work as part of the IMR function in the delivery of Model validation

- Independently review the models being assigned, fully understand the model theory, model assumption, and validate the model building, build challenger models, provide challenge on the model performance etc.

- Effectively corroborate business intuition and expertise with the theoretical framework applied/ results derived from the models.

- Develop independent challenger models to validate the model implementation correctness and identify the model shortcoming, assumptions, limitations

- Communicate the model review findings to model developer and owners. Ensure model limitations are correctly identified, understood, and managed

- Write high quality model validation reports, including conclusion, recommendation, detail analysis in model theory, formula, and testing

- Participate in model control, governance, and monitoring. Assist in reporting requirements, producing detailed updates for Model Oversight Committees, Senior Internal Stakeholder Groups and Regulators

- Work with Senior Managers across IMR to build relationships with Model Developers / Owners.

- Lead a team of junior analysts (for GCB 5+ roles) and be responsible for team management/ project management and provide guidance/coaching across multiple projects.

- Work on long term strategic team objectives like process improvement, contribution in strategic training programs, productivity enhancement etc.

What you- ll do: (List out Key Responsibilities)

- Credit Risk: To independently validate models with focus on key areas like model assumptions, design & performance, data and input, build challenger models etc. in both wholesale and/or Retail domain. Some example of the model landscape would include CCAR, PRA stress testing models, marketing, Strategy, Basel models etc.

What you will need to succeed in the role: (Minimum Qualification and Skills Required)

Below are some of the indicative skills set required for the job:

- Master- s/PhD degree in Mathematics/Statistics or any other quantitative domain.

- Must have proven experience of financial modeling experience in Validation/Development of quantitative models.

- Strong understanding of statistical concepts used in Credit risk modeling (For Credit team)

- Good knowledge of regulatory regulations like Basel, CCAR/DFAST, PRA, SR11-7, IFRS9, CECL etc.

- Strong working knowledge of one or more statistical and mathematical programming languages (for e.g. R, SAS, Python, MATLAB)

- Good communication skills in a professional setting