Model Development/Validation - CCAR - Global Consumer Risk Management

Location: Mumbai

Timings- 1PM- 10PM

Job Description

Model Development:

This position within Global Consumer Risk Management will develop CCAR/DFAST stress loss models for international unsecured (e.g., credit cards, charge cards, installment loans, check-driven lines of credit, ready credit, and overdraft protection lines)

Core Responsibilities:

- Obtain and QA/QC all data required for CCAR stress loss model development

- Build international primary CCAR stress loss models (e.g., Interthix and account-level PD models)

- Build international benchmark CCAR stress loss models (e.g., segmented econometric models)

- Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, and volatility)

- Recalibrate all models annually to incorporate latest data

- Deliver presentations to regulatory constituents on all CCAR models built

Model Validation:

Core Responsibilities:

- To review the model validation reports those are produced by the GMO team members

- To ensure that the quality of the reports are standard, coherent and sufficiently cover the details of the models

- Clearly highlight the model gap / issues, if any, based on the documentations provided to the GMO team (by the Business / model development team)

- The person will also be supporting on the change management of the models reports, which includes producing an MIS report on total number of models that need to be delivered, ongoing progress of model validation, upcoming targets, check points of key deliverables model development areas, etc.

Education: Masters or Doctoral degree with a specialization in Statistics, Mathematics, Finance or other quantitative discipline