- We are hiring for a leading Investment bank based at Mumbai
Experience: 11-17 yrs in Model Development/Model Validation for financial Services in treasury models/ with good Python programming skills
Education: Masters / MBA; in Economics, Mathematics, Statistics, Finance, Computer science From Tier 1 with good knowledge in Quant Analytics/ Quantitative Research/ Quant Models/ Treasury Models
Role & Responsibilities:
- 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,
Keyskills: IRBB Risk Modeling Model Development Treasury Models Interest Rate Risk Model Validation Stress Testing Model Monitoring Quantitative Analytics Quant Research Quantitative Analysis Quantitative models Risk Analytics Credit Risk