Credit Risk Model Validation Expert

18 hours ago

Bengaluru, Karnataka, India Genpact Full time
Job Description:

We are seeking a highly skilled Credit Risk Model Validation Expert to join our team. As a key member of our Enterprise's Model Risk Management Teams, you will be responsible for working with the Model Risk Management team to validate credit risk models, implement new models, and document model validation activities for a BFS client in North America.

Responsibilities:
  • 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
Requirements:
  • 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
  • As team lead, candidate should have experience of overseeing the team's deliverables, ensuring adherence to SLAs for quality and timeliness, while also focusing on people management, client relationship management, leading continuous improvement initiatives, and managing client partner relationships.
  • 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, IFRS 9, 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
Salary:

The estimated salary for this position is around $120,000 - $180,000 per annum, depending on location and experience.

About Us:

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.

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