Risk Model Validation Expert

17 hours ago


Bengaluru, Karnataka, India Genpact Full time

At Genpact, we're harnessing the power of technology and humanity to create meaningful transformation that moves us forward in our pursuit of a world that works better for people.

About the Role

We are seeking an experienced Risk Model Validation Expert to join our team. In this role, you will be responsible for working with the Enterprise's Model Risk Management Teams for model validation, implementation & documentation - for a BFS client in North America.

Responsibilities
  • End-to-end independent validation of credit risk and regulatory models, including 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
Qualifications We Seek
  • 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
Salary Range

$120,000 - $180,000 per annum, depending on location and experience.

Benefits

We offer a competitive salary package, medical insurance, retirement plan, paid holidays, and flexible working hours.



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