Job Description

Sr. Consultant- Quant- Model Risk Management/ Validation

- This role is aligned with the Model Risk Management team and involves analysis review, validation and quantitative Risk and Capital Planning models like PPNR, CCAR, RWA, IRR, Scenario Design, etc.

- Provide independent review and validation as per Model Risk Management policies and procedures, regulatory guidelines and industry practices.

- Adhere to conceptual soundness, standards of modelling methodology, model limitations, data quality, model monitoring.

- Responsible for Market Risk Management deliverables for specific class of models and represent model risk team.

- Document MRM analysis and finding in model documents which can be presented to internal and external teams like model developers, business managers and regulators.

- Develop and maintain model risk documentation, including Model risk management policy and procedures, Model risk assessment reports, Model inventory.

- Communicating with senior stakeholders on issues, challenges, and methodologies.

- Act as a point of contact from Model Risk Management team in interactions with internal stakeholders or external stakeholders - regulatory or audit agencies as required.

- 4 to 8 years of experience in validation of Risk and Capital Planning models.

- Work experience in a Quantitative Risk role like Model Validation in a bank or financial institution.

- Strong understanding of Regression Analysis, Factor Modelling and Statistical Testing as a part of Model Validation.

- Hands-on experience in Python, R or similar statistical programming language.

- Understanding of macroeconomics, markets, financial instruments, and their interrelationships

- Experience in managing model validation projects and consulting engagements in model validation with peer banks

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