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Consultant/Assistant Manager/Manager

HR Consultancy
Mumbai Mumbai City Maharashtra, Maharashtra, India
Competitive Salary
Closing date
Sep 27, 2023

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Job Role
Accounts Assistant
Contract Type
Full Time
Financial Risk Management (FRM) Model Validation (Consultant/AM/Manager)


EXPERIENCE - 4-9 years
MUST HAVE - Experience in Credit Risk Model Development, model validation, model monitoring with a GSIB
- Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks
Good understanding of :
- Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/ linear regressions including assumptions and limitations, scorecard calibration
- Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis
- Market Risk Model Development or Validation experience covering VaR modeling and validation/back-testing, historical full revaluation, Taylor var approximation (delta gamma method, Monte Carlo) for linear instruments and derivative products
- Pricing (linear instruments and Derivatives)
- Curve construction and calibration
- MR Capital computation (Standardised approach/IMA/FRTB)
- Economic Capital computation
- Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines
- Time Series analysis and forecasting
- Knowledge around ML techniques such as Random Forest, Decision Trees, and various other Supervised and Unsupervised Learning algorithms (this is optional)
- Knowledge around regulations by BCBS, US FED, FINMA, PRA, BAFIN, OECD
- Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory)
- Preparation of model documentation, model monitoring plans, model validation reports,

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