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Manager- Statistical Modelling

5.00 to 10.00 Years   Gurugram   02 Dec, 2022
Genpact India Pvt Ltd
Job LocationGurugram
EducationNot Mentioned
SalaryNot Disclosed
IndustryIT - Software
Functional AreaGeneral / Other Software
EmploymentTypeFull-time

Job Description

    (Manager/ Assistant Manager), Model Validation analyst, Analytics 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 experience in quantitative data analytics and modeling
    • 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 approach
    • Very strong analytical skills
    • Ability to manage & prioritize high quality deliverables
    • Must have the 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
    ,

Keyskills :
strong analytical skillsdata miningcredit risktime seriesrisk modelsdata scienceadvanced exceldata analyticsstress testing

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