VP/SVP – Risk Modelling (CCAR) – 10+ Years – Mumbai/Gurgaon

Location: Mumbai
Discipline: Analytics
Job type: Permanent
Contact name: Rajat Sharma

Contact email: rajat.sharma@crescendogroup.in
Job ref: 37125
Published: 19 minutes ago

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/Gurgaon

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:

  • 12-14 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 rajat.sharma@crescendogroup.in for a confidential discussion on the role.