Education : Masters Degree in Statistics / Mathematics / Economics / Operations Research / Any Quant background from reputed colleges.
Work Profile :
- The role will require working closely with the risk validation team of a large global bank.
- This will include independently validating, reviewing, assessing and challenging the complex risk models.
Key responsibilities include :
- Understanding the conceptual framework and assumption of models, assessing the data and information used, reviewing and conducting extensive testing and bench-marking of the model; highlighting the model issues\shortcomings to model owner and proposing resolution; and preparing the comprehensive validation report in line with regulatory standards.
- It also includes model implementation, model performance assessment and model stability analysis.
- The candidates will be required to have sound knowledge and exposure to CCAR models and validation process.
This will include exposure to the following :
- Dodd Frank Stress Testing (DFAST) /CCAR (PPNR model)
- Regulatory Stress Testing, sensitivity analysis, uncertainty analysis, Model bench-marking, Model performance
Skills Required :
Sound knowledge in econometrics - Advanced Time Series techniques, Regression models, forecasting models
Excellent programming skills - SAS and/or R and/or VBA with basic knowledge of standard tools and platforms used in the industry