Analyst/ Senior Analyst - Statistical/ Econometric Modeler - Sas/r

CareerNet Technologies Pvt. Ltd.
  • Chennai, Mumbai, Pune
  • Confidential
  • 2-5 years
  • 08 Sep 2015

  • Business Analytics

  • Accounting/ Taxation/ Audit
Job Description

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

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