Genpact - Credit Risk Model Development Role

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In this role, you will be responsible to work with the Enterprise's Model Risk Management Teams for model development, validation, implementation & documentation - for a BFS client in North America

Responsibilities:

You will be working with the Model Risk Management team specifically on credit risk models, with responsibilities ranging from model development and independent model validation function of a large banking client. This will involve end-to-end development of regulatory/BAU models, independent validation of risk and regulatory models across business functions, and development of challenger models as necessary. It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors and client model validators. Your activities will include, but will not be limited to the following:

- Work hands-on to validate models and bring in thought leadership and domain/quantitative best practices to present effective challenge to the models

- End-to-end independent validation of credit risk and regulatory models - PD, LGD, EAD, Stress Testing, CECL, Credit Scorecards, AML and counter fraud models etc.

- First time (baseline), change based and annual validation

- Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use

- Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines

- Development of benchmark models using statistical/Machine Learning technique.

- Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques

- Prepare model validation report summarizing findings and provide recommendations

- Work across risk and regulatory modeling and data analytics projects

- Development, re-development and calibration of risk and regulatory models, including but not limited to credit decision scorecards, fraud and AML models, Basel IRB - PD, LGD, EAD, Stress Testing and IFRS 9/CECL models

- Model monitoring and implementation support

- Development of modeling strategies for automated decision making

- Develop and support the reports to be shared with senior management at the desired frequencies

- Data and quantitative analysis to support modeling decisions

- Detailing model techniques and interpretation of variables used in the models be documented and presented to client Stakeholders

- Validation for the source data quality, forecast data quality as well as change management

- In addition to working on model development, the candidates would be required to present their analysis and model results to senior stakeholders in the client organization

Qualifications we seek in you:

Minimum qualifications

- Master's degree or higher in Finance, Mathematics, Economics, Statistics, or equivalent experience

- Hands on experience in portfolio analytics/predictive modeling/independent validation of models

- Experience in BFS analytics, with experience in credit risk analytics/modeling/independent validation of models (Regression, Logistic Regression, Time series, Clustering, CHAID/Classification trees, Time Series, Competing Risk, Survival Models, Markov TPM, scorecards, etc.)

- Experience in retail and wholesale credit risk models is a plus

- Understanding of and experience in regulatory risk modeling/validation - SR 11-7, CECL, IFRS 9, CCAR, Basel IRB.

- Hands on expertise in Excel, SAS & Python/R

- Strong communication/presentation skills - written & verbal

- Self-driven, proactive, "can-do" attitude. Ability to work under ambiguity and with minimal supervision.

Preferred skills:

- Knowledge of Banking and Financial services operations

- Knowledge of credit risk management for retail and wholesale lending products

- Some understanding and experience on the regulatory risk modeling/validation guidelines - SR 11-7, Basel IRB, CCAR, CECL, IFRS9 etc.

- Hands on experience in Machine Learning modeling techniques

Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws. Genpact is committed to creating a dynamic work environment that values diversity and inclusion, respect and integrity, customer focus, and innovation. For more information, visit www.genpact.com. Follow us on Twitter, Facebook, LinkedIn, and YouTube