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VP - Treasury Model Development
VP - Treasury Model DevelopmentConfidential • Mumbai
VP - Treasury Model Development

VP - Treasury Model Development

Confidential • Mumbai
30+ days ago
Job description
  • Developing Treasury Models / PPNR / IRBB / Interest risk / credit risk models / CCAR models
  • Development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes
  • Manage the model life cycle from first line of defense perspective and participate in Segmentation
  • End-to-End model development includes econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes.
  • Responsible for understanding changes to quantitative requirements published by MRM in Model Testing Guidance and presenting the key changes to senior model development leads
  • Model governance and support includes reviewing and timely submission of model documentations such as - Model development document
  • Contribute to model convergence initiatives as part of firms Transformation journey for different businesses.
  • Domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk,
  • Skills Required

    Alm, Credit Risk, CCAR

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