Elixir Consulting Recruitment – Manager- CCAR Analytics-goregaon East Mumbai

Job Description

  • This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.). The responsibility includes but not limited to the following activities:
  • Obtain and conduct QA/QC on all data required for CCAR stress loss model development
  • Develop segment and/or account level CCAR 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/regions business stakeholders, model validation and governance teams, and model implementation team
  • Prepare responses/presentations to regulatory agencies on all CCAR models built

Desired Profile

  • Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
  • 4+ years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST)
  • Experience with dynamics of unsecured 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, & model production implementation)
  • Exposure to various CCAR 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

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