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AVP - Risk Analytics / Modeling
ConfidentialMumbai9 days ago
Job descriptionDeveloping 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
Credit Risk, Asset Liability Management
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Avp • Mumbai