Avp / Vp Independent Model Review (imr) Job in Abc Consultants

Location - Bangalore
Role -AVP / VP Independent Model Review (IMR
Skills,

• 8+ years of relevant professional experience in Risk Analytics in financial domain
• Master s/PhD degree in Mathematics / Statistics or any other quantitative domain
• Must have proven experience of financial modeling experience in Validation/Development of quantitative models.
• Strong understanding of statistical concepts used in Credit risk modelling (For Credit team) or Strong knowledge of financial instruments in one or more asset class like Equity, Interest Rates, FX or Credit. (For Markets team). Worked on actuarial or insurance models (for actuarial roles)
• Good knowledge of regulatory regulations like Basel, CCAR / DFAST, PRA, SR11-7, IFRS9, CECL etc.
• Strong working knowledge of one or more statistical and mathematical programming languages (for e.g. R, SAS, Python, MATLAB)

• To work as part of the IMR function in the delivery of Model validation
• Lead a team of junior analysts and be responsible for team management/ project management and provide guidance/coaching across multiple projects.
• Independently review the models being assigned, fully understand the model theory, model assumption, and validate the model building, build challenger models, provide challenge on the model performance etc.
• Effectively corroborate business intuition and expertise with the theoretical framework applied/ results derived from the models.
• Develop independent challenger models to validate the model implementation correctness and identify the model shortcoming, assumptions, limitations
• Communicate the model review findings to model developer and owners. Ensure model limitations are correctly identified, understood, and managed
• Write high quality model validation reports, including conclusion, recommendation, detail analysis in model theory, formula, and testing
• Participate in model control, governance, and monitoring. Assist in reporting requirements, producing detailed updates for Model Oversight Forums, Senior Internal Stakeholder Groups and Regulators
• Work with Senior Managers across IMR to build relationships with Model Developers / Owners