Consultant Expert - Model Validation

Societe Generale Global Solution Centre; Bengaluru; On-site; INR 1,500,000 - 2,100,000; Full time

Job summary

Societe Generale Global Solution Centre is seeking experts in regulatory risk modelling to validate and monitor IRB/IFRS9 models. The role includes backtesting, benchmarking, and sensitivity analyses within Basel guidelines and IFRS9 standards.

The candidate should be proficient in SAS and R, with exposure to machine learning model validation. Strong analytical and governance skills are essential for ongoing monitoring and stakeholder reporting.

Qualifications

• Experience with regulatory risk models such as IRB and IFRS9 validation and monitoring.
• Proficiency in SAS and R; familiarity with ML model validation basics.

Responsibilities

• Backtest models designed by the business and apply Basel & IFRS9 norms.
• Analyze model output and related components; assess assumptions and limitations.
• Perform benchmarking and sensitivity analyses to test robustness.
• Establish governance and thresholds; report analyses to stakeholders.
• Monitor model performance over time and detect deviations; propose corrective actions.

Skills

Regulatory risk model validation

Model monitoring

Machine learning model validation

Tools

SAS

R

Job description

Role & responsibilities

The ongoing monitoring of the model is a task that must be done in all phases of the model lifecycle (development, implementation, use). In order to track and measure the efficiency and adequacy of models, the model monitor conducts continuous analysis and controls as an early warning both initially at implementation (for new models) and regularly as a part of the models ongoing monitoring.

• Backtest each model designed and developed by the business, hence a thorough understanding of model development under Basel & IFRS norms is critical.
• Choose adequate model outcome analysis techniques such as:
  • o Model estimates vs realized values (e.g. back-testing for some models);
  • o Stability of model outcomes;
  • o Benchmarking: model output vs output generated by comparable models or applications;
  • o Sensitivity analysis to test robustness.
• Analyze the model output and the related components (if applicable);
• Model assumptions and limitations validity;
• Results of benchmarking and sensitivity analysis;
• Accuracy of models characteristics;(ROC/AUC, KS statistics, accuracy ratio, Gini coefficient etc)
• Monitor over time in order to follow up trends and detect deviations;
• Establish thresholds and action plan for major deviations;
• Report this analysis to the different model stakeholders.
• Implement a governance to monitor the corrective actions

Furthermore, as part of the model ongoing monitoring phase, the model monitor should abide by the group standards on ongoing monitoring that establish guidelines on performance assessment processes including type, scope and range of tests and appropriateness of responses to any problems that may appear.

Preferred candidate profile

Technical Skills

Regulatory risk model (IRB, IFRS9) model validation, monitoring, development (good to have) using SAS, R. Initiation to machine learning model validation.

Functional Skills

• Knowledge of Global regulatory Topics BASEL II/III & IFRS 9
• Understanding of risk management and risk quantification processes
• Understanding of forms of risk, viz. credit, market, operational, model etc.

Behavioral Aspects

• Result Orientation
• Client Focus
• Contribution to Strategy
• Cooperation
• Team Player