Manager Model Risk Management -CRAIN - IRM with Large Private Bank

Job Description

Job Purpose: The person//'s primary responsibility will be end-to-end validation of credit analytics models used across different functions of the Bank. The role will also involve projects on automation and implementations, liaising extensively with all the stakeholders including active engagement with Senior Management As a part of centralised team, the candidate will be responsible for a portfolio of models of varying materiality and will drive the detailed validation of said models as required. Assist in the validation and monitoring of credit analytics models. Perform data analysis and model performance evaluation. Document model validation processes and findings. Collaborate with model developers to ensure compliance with regulatory requirements. Job Responsibilities Model Building The candidate would be required to carry out end-to-end validation of credit analytics models including the review of the model assumptions, evaluation of the accuracy of models from qualitative and quantitative standpoint and summarizing the findings in a report. Candidate would also be expected to evaluate the adequacy of theoretical framework and model design. Conduct research as required and provide supporting materials (white papers/ RBI/EBA publications) to either support or reject a modelling framework. Conduct replication of model results to confirm accuracy of model code and processing accuracy and capacity. review of SAS, Python or R codes and write new codes for statistical tests and/or design new tests if necessary. Conduct sensitivity and back testing analysis. The sensitivity analysis would include sensitivity of model results to changes in parameters and data inputs. Assess limitations of model results for its intended use and adequacy of model documentation Prepare model validation report summarizing findings and providing recommendations. Automate the structured processes to avoid manual efforts and streamline execution. Present model validation results to various risk committees and Senior Management to maintain strong governance. Responding to RBI on any queries related to model validation and putting requisite process / controls in place. Policy formulation for model validation and its allied processes Educational Qualifications • M.Sc Statistics, Statistics & Informatics, Economics; M.Stat / MSQE / M.Math • MBA Finance/ Business Analytics • M.Tech QROR, Comp Science • CFA, FRM Key Skills • Data science & Data engineering • Cloud computing, Big data • Machine learning, Artificial intelligence • Working knowledge Python, R, SAS, SQL. • Strong understanding of model validation/development framework • Strong Interpersonal / Communication skills • Excellent Quantitative and analytical skills Experience Required • 0 - 2 years of experience of working in Model Risk Management, Model Development/ Validation