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Model Risk
3 months ago
About CRISIL Limited:
- CRISIL is a leading, agile and innovative global analytics company driven by its mission of making markets function better.
- It is India’s foremost provider of ratings, data, research, analytics and solutions with a strong track record of growth, culture of innovation, and global footprint.
- It has delivered independent opinions, actionable insights, and efficient solutions to over 100,000 customers through businesses that operate from India, the US, the UK, Argentina, Poland, China, Hong Kong and Singapore.
- It is majority owned by S&P Global Inc, a leading provider of transparent and independent ratings, benchmarks, analytics and data to the capital and commodity markets worldwide.
About Global Research & Risk Solutions:
- CRISIL Global Research and Risk Solutions (GR&RS), is a leading strategy implementation partner that works across the globe with many of the world's biggest financial institutions in helping them grow revenues, minimize risk, enhance productivity, make better decisions and enhance returns.
- Globally, we provide Financial Risk (Model Risk, Traded Risk, Credit Risk) and Non-Financial Risk Services in addition to bespoke Research Services.
- Over the past two decades, we have served more than 200 institutions and over 10,000 stakeholders across banks and asset managers, pioneering the launch of new services in the process.
- Our consultative approach in providing "Run the Bank" and "Change the Bank" solutions & services help our clients achieve tactical and strategic goals, manage complex risks and transform with conviction.
- Our unique ability to combine our rich talent pool, with cutting edge analytics and technology helps us co-create winning experiences with our clients
Job Duties
This role is a critical and challenging role which requires a dynamic, bright, and hands-on Quant. This is an individual contributor position. The role involves: -
- Working closely with the development/validation team of a large financial institution.
- Responsible for conducting model lifecycle activities, including validation, review, assessment, and effective challenge of models used in DFAST/Capital Forecasting process.
- The candidates will be required to have sound knowledge and exposure to model validation process and have expertise in the following model categories:
- Portfolio Capital Forecast
- Forecast of Credit Risk and Severity
- Operational Loss Aggregation Model
- Reviewing the conceptual soundness of framework, assumptions and limitations of models, conducting model testing, reviewing model documentation and creating model validation documents.
- Reviewing and identifying process improvements and areas for automation.
- Managing end-to-end project delivery and ensuring periodic engagement with client stakeholders.
- Presentation of findings to relevant stakeholders for discussion
- Ensuring knowledge dissemination internally across other teams and participating in training activities.
Skills Required
- Should have hands-on work-experience as a Quant Modeler and developed/validated credit risk models (PD/LGD/EAD) for financial institutions, especially for retail mortgage portfolios.
- Should have worked on PPNR, Capital Forecasting and/or Operational Loss forecasting models. Knowledge/exposure to stress testing frameworks and methodologies.
- Should have strong quantitative and statistical skills (time series analysis, logistic/linear regression, segmentation, severity analysis, frequency analysis and copula).
- Should have solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data.
- Should have strong Basel, CCAR and DFAST, FRY-14A, SR-11/7 understanding.
- Should have hands-on experience of statistical software/programming languages such as Python, SAS and R used for modeling purposes.
- Strong verbal and written communication skills, and strong interpersonal skills.
- Strong client management skills. Should demonstrate very high client focus.
- Experience of working onsite/offshore in a multi-cultural and global environment.
- Good at multi-tasking skills. Ability to quickly assimilate & comprehend information and deliver within strict deadlines.
- Capable of working in a dynamic & rapidly changing environment. Should have the ability to manage change. This role requires the individual to be flexible and comfortable in dealing with high pressure.
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