Vice President

1 month ago


BangaloreKolkataGurgaonGurugram, India iimjobs Full time

Vice President - Asset Liability Management Model Validation


Responsibilities:


- Independently review and mentor juniors in model validation pertaining to Asset Liability Management models (Liquidity and IRRBB) including Net Interest Income (NII) modeling, Economic Value of Equity (EVE) modeling, Prepayment modeling, Cash flow forecasting of various asset classes, LCR/NSFR computation and Funding ratio analysis etc.


- Review Pricing Models- Derivatives/ Product Control and hedging models, Structural Interest rate risk, Multi - Curve construction, OIS discounting and Earning at Risk

- Demonstrate strong understanding of various econometric and time series models to forecast Deposits Stability/Run-Off, Portfolio Balance and Interest Income/Expenses

- Hands-on experience with vendor systems such as QRM, PolyPaths, Murex, Bloomberg etc.

- Programming experience in Python, R, C++ etc.

- Understanding of various stress testing models such as CCAR/PRA and various other mandatory regulatory expectations for US such as SR 11-7

- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends

- Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model.

- Providing model users, senior management, audit & regulators (across 1LOD, 2LOD, 3LOD) with confidence that the models and tools developed, maintained and used within the Group are compliant with internal and regulatory expectations and fit for the intended purpose.

- Liaising with 1LOD and other model stakeholders as appropriate to ensure model reviews and model findings are adequately resolved.

- Maintaining sufficient rigor, challenge and consistency of model reviews, assuring quality through quality assurance reviews focusing on quality, presentation and consistency of Independent Model Review reports.



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