Vice President - CCAR - Unsecured Model Implementation & Validation - Investment Banking

8 - 20 Years

Mumbai

Posted 6 years ago

#Risk Modeling #Model Validation #Stress Testing #CCAR #Statistical Modeling #Loss Forecasting #Credit Risk #SAS #SQL

Description :

CCAR Quantitative Modeler - Unsecured Products

Description :

- This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.)

The responsibility includes but not limited to the following activities :

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

- Develop segment and/or account level CCAR stress loss models

- Perform all required tests (e.g. sensitivity and back-testing)

- Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed

- Deliver comprehensive model documentation

- Work closely with cross functional teams, including country/region's business stakeholders, model validation and governance teams, and model implementation team

- Prepare responses/presentations to regulatory agencies on all CCAR models built.

Qualifications :

- Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline

- 4+ years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST)

- Experience with dynamics of unsecured products a strong plus

- Active role in performing some analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, and model production implementation)

- Exposure to various CCAR modeling approaches at the segment or account level preferred

- Able to communicate technical information verbally and in writing to both technical and non-technical audiences

- Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint.

Tejashree Waradkar
Team Leader
Dir No: +91 22 66848503