VP - Risk Management/Risk Modeling

Business Group-- Asset and Liability Management Unit

(4-5 line brief on the business group / department where the position is housed and how does that department)

The Asset and Liability Management Unit is responsible for developing sophisticated forecasting models used for business forecasting and as input to the annual regulatory forecasting (CCAR) process.

- Development of econometric forecasting models for all significant balance sheet assets and liabilities.

- Manage teams and build key relationships with finance, risk and business teams

Job Description:

Position Title : Vice President

Reporting : Sr. VP / Director/ Managing Director

Department : Finance and Risk Operations

Location : Mumbai, India

Role & Responsibilities:

Objectives:

- The Asset and Liability Management Unit is responsible for developing sophisticated forecasting models used for business forecasting and as input to the annual regulatory forecasting (CCAR) process.

Core Responsibilities:

- Development of econometric forecasting models for all significant balance sheet assets and liabilities.

- Development, documentation and testing of product models needed as input to Financial Planning and Risk Management forecasts.

- Evaluate the impact on the product models of various scenarios used for Comprehensive Capital Analysis & Review (CCAR) submissions

- Coordinate with specific front-line business FP&A teams to drive Planning/CCAR process for Consumer, ICG and O&T businesses.

- Coordinate with local risk management to insure product models accurately reflect risk exposure

- Create a culture of accountability and strict quality control of the data integrity and modeling process

- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk

Key Deliverables:

- Development of econometric forecasting models for all significant balance sheet assets and liabilities.

- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk

Qualification:

Education : Advanced degree in quantitative related field -- statistics, computer science, economics, finance or applied mathematics

Experience:

- 10+ years of relevant finance/business/accounting/statistical experience in financial services

- Expertise in Term Structure Analysis, Stochastic Modeling Approaches, Modern Risk Management Theory and Modern Financial Theory

- Experience developing econometric and multivariate regression models.

- Extensive hands-on experience in programming and modeling using SAS.

- Experience in analyzing and normalizing very large data sets of account-level data as model inputs

- Strong interpersonal skills. Must have a balance of assertiveness and discretion to be a credible and sought after resource

- Demonstrated leadership and team management skills and ability to managing multiple projects and deadlines

- Ability to build key cross functional and cross business relationships

- Experience in model validation, documentation and tracking.

Akshit