Role-Senior Vice President- FPNA
The detailed Below:
Development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income , Interest Rate Exposure, Economic Value Sensitivity, and other associated interest rate risk metrics.
- Deep understanding of statistical techniques such as Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration.
- Manage the Segmentation, Risk Identification, overlay discussions with Business and Finance teams.
- Responsible for reviewing and timely submission of Model development documentation (MDDTs) for entire PPNR modeling landscape to Model Risk Management.
- Align with Model Risk Management on modeling and validation practices and have periodic check-ins with them.
- Create a culture of accountability and strict quality control of the data integrity and modeling process
- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk
- Ability to build key relationships with finance and business teams
- Have managed a large team of minimum 8-12 in previous and current role