Senior Vice President Risk Modelling (CCAR) 14+ Years Mumbai
We are looking for an experienced professional with hands-on experience in developing and implementing state-of-the-art quant/stats models. We are looking for someone with strong experience in SAS, Python, or R.
If this sounds exciting, apply with us!
Location: Mumbai
Your Future Employer: One of the world's Biggest Financial institutions with a strong global footprint and a huge customer base.
Responsibilities:
- Developing econometric forecasting 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 interest rate risk metrics.
- Steering stakeholder conversations with Businesses, Finance, Treasury, and Risk to seek their sign-offs on Champion models.
- Manage thing Segmentation, Risk Identification, and overlay discussions with Businesses and Finance teams.
- Reviewing and timely submission of Model development documentation (MDDTs) for the entire PPNR modeling landscape to Model Risk Management.
- Developing and maintaining a comprehensive modeling system that supports a consistent approach to data quality and modeling methods, audit, backtest, tracking, and annual validation.
- Have managed a large team of a minimum 8-12 statisticians/econometricians in the previous role
Requirements:
- 14 years of relevant statistics/ economics experience in financial services
- Masters / Ph.D. in quantitative disciplines line such as Statistics, Economics, Finance or related discipline
- Deep understanding of statistical techniques such as Panel Regression, Error Correction Models, Seemingly Unrelated Regression, and Cointegration.
- Experience in CCAR Modeling / Reporting to OCC, FRB and FDIC.
- Experience in developing econometric and Panel regression models.
- Extensive hands-on experience in programming and modeling using SAS.
Reach Us: If you think this role is aligned with your career, kindly write me an email along with your updated CV at Ravjot.kaur@crescendogroup.in or call me at 7652803515 for a confidential discussion on the role.
Keywords: CCAR, Risk Modelling, Credit risk, IFRS, Basel, model development, sas, python