Credit Risk Model Validation Role- Bangalore,Gurgaon,Kolkata

With a startup spirit and 90,000+ curious and courageous minds, we have the expertise to go deep with the worlds biggest brandsand we have fun doing it. Now, we are calling all you rule-breakers and risk-takers who see the world differently and are bold enough to reinvent it.

Inviting applications for the role of Model Validation analyst, Analytics (Manager/ Assistant Manager)

Responsibilities

In this role, the candidate would be required to carry out end-to-end validation of credit risk models including the evaluation of the models from qualitative and quantitative standpoint and summarizing the findings in a report.

Responsibilities

• Evaluate adequacy of theoretical framework and model design. Conduct research as required and provide supporting materials (white papers/ Fed/ OCC publications) to either support or reject a modeling framework
• Familiarize oneself with applicable banking regulations for assessing capital adequacy, stress testing, provisioning etc. CCAR, CECL
• Evaluate accuracy and support for key assumptions and data
• Conduct replication of model results to confirm accuracy of model code and processing accuracy and capacity
• Conduct review of SAS, Python or R codes and write new codes for statistical tests
• Conduct sensitivity and back testing analysis. The sensitivity analysis would include sensitivity of model results to changes in parameters and data inputs
• Assess limitations of model results for its intended use
• Adequacy of model documentation
• Prepare model validation report summarizing findings and providing recommendations
• Participate in exit meetings and provide assistance and support in explaining findings to business stakeholders
• Communicate with client stakeholders on regular basis to discuss project progress and analysis outputs
  

Qualifications
Minimum qualifications:

• Masters degree in a quantitative discipline, with relevant experience in quantitative data analytics and modeling

Minimum skills:

• Experience in design of Statistical models using regression (linear/logistic/GAM), optimization, time series, survival modeling techniques
• Proficient in SAS for data mining and model development
• Agile development and delivery
• Proactive in approach
• Very strong analytical skills
• Ability to manage & prioritize high quality deliverables
• Must have right attitude and level of flexibility
• Strong team player
• Able to work within tight deadlines, multi-task and deliver on commitments
• Should have strong consulting mindset to engage with Global senior stakeholders

Preferred Skills/Qualifications:

• Model Development experience in banking and capital markets domain
• Understanding of US banking regulations on Capital, Provisioning – Basel, CCAR, CECL and experience of developing or validating regulatory models preferred
• Prior experience in data science delivery roles
• Hands-on experience in Python or R
• Proficiency in advanced Excel macros/VBA

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 www.genpact.com. Follow us on Twitter, Facebook, LinkedIn, and YouTube.