Risk Modelling - PPNR CCAR

Work in the quantitative modelling team

The candidate will be working on risk modelling assignments including -

Design, Development, Enhancement and Validation of Pre-provision Net Revenue (PPNR) models - Net Interest Income, Non-interest Income, Non-interest Expense, etc.

Strengthening the PPNR framework under the US CCAR mandate

Working to overcome data sterility, and testing alternative approaches and challenger models

Model governance and monitoring

Enterprise risk/stress testing models - loss forecasting, econometric modelling

Collaborating with Model Risk Management

The role might involve overseas project-related travel for short duration

Master- s/Ph.D. degree in Math- s/Statistics/Econometrics/Economics/other quantitative disciplines with strong understanding of risk theories/concepts; FRM certification would be a plus

Experience in SAS/R/MATLAB - for modelling risk

Strong understanding of statistical concepts/econometrics/time series modelling

Strong communication and documentation skills

Deep understanding of risk concepts and regulations