Job
Description
We are currently seeking an experienced professional to join our team in the role of LEAD ASSISTANT VICE PRESIDENT- DECISION SCIENCES Principal responsibilities Undertake model validation activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model. Provide written reports detailing the results of validations highlighting issues identified during the validation. Validate remediation activities completed by the ILOD to ensure appropriate resolution of identified issues. Work with relevant stakeholders to support the embedding of new Global Model Risk Policies and Procedures Provide coaching and guidance to new starters and junior colleagues. Deliver, high quality, timely validation reports that add value to the business. Communicate across technical quantitative, business and strategic levels to ensure that stakeholders understand the implications of model risks and limitations. Contribute to management, regulatory, and external confidence in all models used across the group. Requirements Candidate should have worked on either development or validation of econometric forecasting PPNR models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income ( NII ), Non Interest Revenue ( Non-NIR ), Interest Rate Exposure ( IRE ), Economic Value Sensitivity ( EVS ), and other associated PPNR/Interest rate risk metrics. Candidate should have understanding of statistical techniques such as Time Series Analysis, Panel Regression, Error Correction Models, Seemingly Unrelated regression, Co-integration, and Linear/Logistic Regression. Candidate should be able to effectively steer stakeholder conversations with FLoD including Model developers/Sponsors/Business, etc. He/she should be able to effectively contribute in developing or maintaining a comprehensive model validation framework that adopts a consistent approach to data quality and modelling methods, audit, back test, tracking, Annual/Semi Annual/Quarterly validations. This is critical in regulating, monitoring and reducing the model risks. Candidate should have good understanding of various other mandatory regulatory expectations such as FRB/OCC/PRA guidelines and SR 11-7. Person should be familiar with concepts of time series modelling and its use in different stress testing exercises. Candidate should have good understanding of Wholesale/Retail - AIRB/CCAR models as well as basic understanding of different wholesale portfolios such as Corporate, NBFI s, SME, MME and Large and global enterprises etc. or Retail Portfolios such as Cards, Mortgages, Payrolls, PILs, DDA Deposits, Time Deposits, etc. He/she should be able to validate models used for different regulatory perspective such as OCC/FRB, EBA Guidelines and PRA regulations. Minimum 5-10 years of experience of financial model validation/development experience in Risk Management in Wholesale/Retail domain or related areas Proficiency in SAS / R, Python MS Office tools like Excel & PowerPoint. Experience of developing and reviewing models throughout the customer lifecycle. Experience of conducting independent model reviews is beneficial. Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model. Excellent written and verbal communication skills. Ability to develop and effectively communicate complex concepts and ideas. Master s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics, Engineering or any other quantitative field of study (STEM).
