Credit Risk Model Validation
1 week ago
Are you the one we are looking for?
In this role, you will be responsible to work with the Enterprise’s Model Risk Management Teams for model validation, implementation & documentation - for a BFS client in North America
Responsibilities
You will be working with the Model Risk Management team specifically on independent model validation for credit risk models, involving end-to-end validation of risk and regulatory models across business functions of a large banking client.
It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors, and client model validators. Your activities will include, but will not be limited to the following:
Work hands-on to validate models, build and lead validation teams, and bring in thought leadership and domain/quantitative best practices to present effective challenge to the models.
End-to-end independent validation of credit risk and regulatory models, including but not limited to – PD, LGD, EAD, Stress Testing, CECL, Credit Scorecards, AML and counter fraud models etc.
Conduct first time (baseline), change based and annual validation.
Assess the models conceptually and quantitatively to ensure the model is suitable for the stated/intended use.
Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation in line with regulatory guidelines Validation for the source data quality, forecast data quality as well as change management.
Development of benchmark models using statistical/Machine Learning technique during validation exercise to challenge model methodology.
Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques
Prepare model validation report summarizing findings and provide recommendations and risk rate the models.
Lead projects and teams - provide thought leadership, technical guidance, and oversight for a team.
Assessment of model risk current state and gaps for clients, along with recommendations to address the gaps.
Participate in solution development, proposal build and RFI/RFP responses for new business.
Qualifications we seek in you.
Minimum qualifications
Master’s degree or higher in Finance, Mathematics, Economics, Statistics, or equivalent experience
Leading as well as hands-on experience in BFS analytical projects supporting portfolio analytics/predictive modeling/independent validation of models
Experience in BFS analytics, with experience in credit risk modeling/independent validation of models (Regression, Logistic Regression, Time series, Clustering,
CHAID/Classification trees, Time Series, Competing Risk, Survival Models, Markov TPM, scorecards, etc.)
Experience in retail and wholesale credit risk modeling/validation is a plus.
Understanding of and experience in regulatory risk modeling/validation – SR 11-7, CECL, IFRS9, CCAR, Basel IRB
Hands on expertise in Excel, SAS & Python/R
Strong client management and communication/presentation skills – written & verbal.
Strong project management experience and demonstrated expertise of communicating and coordinating across multiple business units.
Experience of managing projects and teams in risk modeling
Self-driven, proactive, “can-do” attitude. Ability to work under ambiguity and with minimal supervision.
Preferred skills
Strong networking, negotiation and influencing skills.
Knowledge of Banking and Financial services operations
Knowledge of credit risk management for retail and wholesale lending products
Understanding and experience on the regulatory risk modeling/validation guidelines – SR 11-7, Basel IRB, CCAR, CECL, IFRS9 etc.
Hands on experience in Machine Learning modeling techniques
Prior Project Management and People Management expertise
Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws. Genpact is committed to creating a dynamic work environment that values diversity and inclusion, respect and integrity, customer focus, and innovation. For more information, visit . Follow us on Twitter , Facebook , LinkedIn , and YouTube .
Furthermore, please do note that Genpact does not charge fees to process job applications and applicants are not required to pay to participate in our hiring process in any other way. Examples of such scams include purchasing a 'starter kit,' paying to apply, or purchasing equipment or training.
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