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Job Description
This position within Global Consumer Risk Management will develop CCAR/DFAST stress loss models for international unsecured (e.g., credit cards, charge cards, installment loans, check-driven lines of credit, ready credit, overdraft protection lines)
Core Responsibilities :
– Obtain and QA/QC all data required for CCAR stress loss model development.
– Build international primary CCAR stress loss models (e.g., Interthix, account-level PD models)
– Build international benchmark CCAR stress loss models (e.g. segmented econometric models)
– Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility)
– Recalibrate all models annually to incorporate latest data
– Deliver presentations to regulatory constituents on all CCAR models built
– Work close with countries, regions, GMO, & CCAR coordinator(s) during modeling.
– Redevelop as model performance or aging triggers are tripped
Day-to-Day Responsibilities :
Key Deliverable :
– Experience with the dynamics of unsecured products with international credit cards and installment loans a strong plus.
– Active role in performing some of the analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconsilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation
– Exposure to employing Argus’ Look Ahead (formerly Interthinx/Stategic Analytics) Dual Time Dynamics modeling techniques and software a significant value-add.
:
testingQA QCdata integrity
BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
BLACK TURTLE is headquartered in Mumbai and has presence across seven cities in the country. It has over 50 consultants spread across with Mumbai being the PDC (Principal Delivery Centre).
BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
BLACK TURTLE is headquartered in Mumbai and has presence across seven cities in the country. It has over 50 consultants spread across with Mumbai being the PDC (Principal Delivery Centre).
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