Assistant Vice President - Model Development - PPNR/Treasury/Market Risk/IRBB/CCAR Models

Description : We are hiring for a leading Investment bank based at Mumbai

Experience :

- 5-9 yrs in Model Development/Model Validation for PPNR Models treasury models/ IRBB / with good Python programming skills

- Education : Masters / MBA; in Economics, Mathematics, Statistics, Finance, Computer science From Tier 1 with good knowledge in Quant/ Treasury Models/ Liquidity models

Role & Responsibilities :

- Developing Treasury Models/ PPNR/ IRBB/ Interest risk

- Development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes

- Manage the model life cycle from first line of defense perspective and participate in Segmentation.

- Developing best in class treasury and liquidity models using industry leading model development frameworks & methodologies, work in a global quant team,

- End-to-End model development includes econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes.

- Hand on experience in Model Development and/or Model Validation (core development experience preferred)/Model Implementation.

- Experience in IRRBB, RRP, TWD, Hegde accounting, Liquidity Modelling, FX rate risk, ICAAP VAR model, Balance-sheet Modelling, Cash Flow Forecasting

- Contribute to model convergence initiatives as part of firms Transformation journey for different businesses.

- Domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk,