Team Leader - Analytics - Regulatory Loss Forecasting Domain

Responsibilities:

- Work towards establishing an enhanced loss forecasting model framework. Identify areas of improvement of existing models and create roadmap for further improvement.

- Conduct back-testing and stress-testing of the loss estimates.

- Work with stakeholders (Finance, Accounts, & Risk) to negotiate and get relevant sign-offs

- Support reporting team and stakeholders in the regulatory reporting process

- Estimation of the regulatory risk parameters (PD/LGD/EAD etc.) for ECL and capital adequacy computations under different regulatory guidelines as applicable.

- Resource management and training for the regulatory reporting (governance) related activities

- Ensuring strict adherence to the processes set and demonstrating maker checker processes for every deliverable

- Ensuring 0% error in the deliverables and driving discussions with auditors and regulators as needed.

Experience/Expertise:

Total years of Experience: 8+ years in banking and financial sector

Should have good understanding of

- building of a development data from the scratch,

- input variable identification, transformation and selection,

- model diagnostic assessment,

- back-testing & stress-testing, etc.

Proven working experience in the following components:

- Probability of Default (PD) model or Roll Rates model

- Exposure At Default (EAD) or Loss Given Default (LGD)

- Collection efficiency and vintage curves

- Time series predictions - stationary and non-stationary series forecasting models

- Testing of statistical hypothesis

Proven working experience with the following tools:

- Python

- R

- SAS

- SQL