Regulatory Model Development Analyst II

Jobtailor; Gurugram District; On-site; INR 1,200,000 - 2,200,000; Full time

Job summary

Jobtailor in Gurugram is seeking a quantitative analyst to develop CCAR/CECL stress loss models and perform model validation and back-testing. You will collaborate with cross-functional teams and regulators, prepare documentation, and ensure data quality for model development.

The ideal candidate has 2+ years of experience in quantitative analysis, econometric modeling, and proficiency in SAS/SQL/Oracle. Strong communication skills and rigorous approach are essential.

Qualifications

• Advanced quantitative degree; bachelor's required with masters/phd preferred.
• 2+ years in quantitative analysis, loss forecasting, and econometric modeling.
• Experience with unsecured or secured product dynamics is a plus.
• Ability to communicate technical concepts to non-technical audiences.
• Proficient in SAS/SQL/Oracle/Unix; MS Word, Excel and PowerPoint skills.

Responsibilities

• Obtain and QA/QC data for CCAR/CECL model development.
• Develop segment/account level CCAR/CECL stress loss models.
• Perform sensitivity and back-testing tests.
• Validate/recalibrate models annually and redevelop as needed.
• Deliver comprehensive model documentation.
• Collaborate with cross-functional teams including governance and implementation.
• Prepare responses/presentations to regulators on CCAR/CECL models.

Skills

Quantitative analysis

Statistical modeling

Econometric modeling

Data QA/QC

SAS

SQL

Oracle

Unix

Excel

PowerPoint

Education

Advanced degree in Statistics/Applied mathematics/OR

Tools

SAS

SQL

Oracle

Unix

Excel

PowerPoint

Word

Job description

Responsibilities

• Obtain and conduct QA/QC on all data required for CCAR/CECL model development
• Develop segment and/or account level CCAR/CECL stress loss models
• Perform all required tests (e.g. sensitivity and back-testing)
• Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed
• Deliver comprehensive model documentation
• Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team
• Prepare responses/presentations to regulatory agencies on all CCAR/CECL models built

Requirements

• Advanced Degree (Bachelor's required, Masters/PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
• 2+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
• Experience with dynamics of unsecured or secured products a strong plus
• Active role in performing some analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, and model production implementation)
• Exposure to various stress loss modeling approaches at the segment or account level preferred
• Able to communicate technical information verbally and in writing to both technical and non-technical audiences
• Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint