Manager

Responsibilities

In this role, the candidate would be required to carry out end-to-end validation of credit risk models including the evaluation of the models from qualitative and quantitative standpoint and summarizing the findings in a report.
Responsibilities
Evaluate adequacy of theoretical framework and model design. Conduct research as required and provide supporting materials (white papers/ Fed/ OCC publications) to either support or reject a modeling framework
Familiarize oneself with applicable banking regulations for assessing capital adequacy, stress testing, provisioning etc. CCAR, CECL
Evaluate accuracy and support for key assumptions and data
Conduct replication of model results to confirm accuracy of model code and processing accuracy and capacity
Conduct review of SAS, Python or R codes and write new codes for statistical tests
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
Adequacy of model documentation
Prepare model validation report summarizing findings and providing recommendations
Participate in exit meetings and provide assistance and support in explaining findings to business stakeholders
Communicate with client stakeholders on regular basis to discuss project progress and analysis outputs

Minimum Qualifications

Preferred Skills/Qualifications:
Model Development experience in banking and capital markets domain
Understanding of US banking regulations on Capital, Provisioning Basel, CCAR, CECL and experience of developing or validating regulatory models preferred
Prior experience in data science delivery roles
Hands-on experience in Python or R
Proficiency in advanced Excel macros/VBA