Location – Bangalore
About employer– Northern Trust
- Model Validation project investigates all the following aspects of the Model
- Review the model and documentation against internal policy and regulatory requirements.
- Review the model theory and design in the development document to verify the conceptual soundness of the modelling approach, assumptions and limitations.
- Evaluate models within the existing model risk management framework in relation to corporate objectives and industry leading practices. Assess the rationale behind choosing a particular model type.
- Prepare challenger models in case the model performance is not satisfactory.
- Validate the data inputs, transformations, overrides, data integrity, missing value treatment, treatment of outliers, limitations of development data
- Validate the processing code and underlying mathematics of the developer by independently developing the code.
- Verify the output of the models by replicating the results shown in the development documentation.
- Perform Back testing, Benchmarking and Sensitivity analysis of the Model.
- Provides technical/theoretical expertise to resolve model risk issues and enhance overall model risk management framework. Works with other risk teams to ensure that risk management policies/processes and quantitative modeling approaches are consistent.
- Ensures that capital modeling and allocation approaches meet both internal corporate needs and regulatory requirements related to prevailing regulatory guidance.
- Works with project management team to track development efforts and resolve issues.
- Operates independently; has in-depth knowledge of business unit / function
- Acts as subject area expert, provides comprehensive, in-depth consulting and leadership to team and partners at a high technical level
- Carries out complex activities with significant financial, client, and/or internal business impact.
- Role is balanced between high level operational execution and development, and execution of strategic direction of business function activities
- Responsible for interaction with different committees and/or management
Qualification and Skills Required
- Excellent oral and written communication skills are required. The candidate is expected to justify all his validation findings to the Higher Management very clearly.
- Should have strong knowledge in Statistics acquired academically or through Work experience
- Strong conceptual and technical knowledge of risk concepts and quantitative modeling techniques. Understanding of stochastic calculus, derivatives pricing theory & numerical methods.
- Functional / Industry Knowledge is required. Analytical and problem solving skills are required.
- Strong Excel skills are required.
- Technical skills / systems knowledge (e.g. SAS, Matlab, R) is desirable.
- Experience in CCAR models validation desirable.
- Financial Regulation knowledge (Dodd Frank, BASEL III) will be desirable.
- PhD / M. Sc (Financial Engineering / Statistics / Mathematics) / MBA in finance from top B -schools.
- CFA/FRM/CQF candidates preferred.
- Experience Required
- Minimum 3-8 years
Interested people can apply for this job can mail their CV to [email protected] with subject as Consultant – Risk Analytics – Northern Trust – Bangalore