- Responsible for Consumer Retail Credit Loss Forecasting Models Oversight and Governance in Asia and European countries.
- With in-depth understanding of the model life cycle and model risk management, ensure compliance of applicable policies and regulatory requirements pertaining to model development, validation, usage and on-going performance assessment;
- Participate in model development calls between sponsor and modeler, exercise effective challenge for assumptions, risk drivers, methodologies and results to ensure models satisfy the functional requirements;
- Provide guidance and technical advice to countries on model related methodological issues and strategic use to achieve the business control and profitability goals.
- Capable of presenting complex modeling concepts to non-technical audiences.
- Ensure respective countries have appropriate Champion/Challenger/Benchmark loss forecasting models / methodologies in place. Work with multiple stakeholders (e.g. countries, modelers, credit risk oversight seniors) to ensure annual model development / enhancement plan to address model issues identified.
- Coordinating, and reviewing before submission to Model Risk Management (MRM), all model documentations including Validation, Re-validation, Annual Model Review, Ongoing Performance Assessment, overlay documentation, closure of model limitations. Tracking all work and approval status with MRM and countries.
- Ensure all models inputs (e.g. macroeconomic forecasts) are provided in a timely manner to facilitate periodic model run as per regulatory timeline. Coordinating with Global Model Production Team to schedule periodic model run and obtain model results to support countries CCAR/CECL/ICAAP Credit Loss Forecasting submission.
- Participate in logistics and model usage support to Global on CCAR/CECL/ Annual Loss Forecasting submission. Achieve effective challenge to model run results to fulfill the regulatory stress testing and business credit planning objectives.
- Effectively support setting up of standards, designing workflows, ensuring control and compliance of regulatory submission, such as CCAR, ICAAP, CECL, IFRS9, etc.
- Perform model governance self-assessment, identify exceptions / findings to communicate to Senior Manager, and set up corrective action plan (CAP) as appropriate. Coordinate with multiple stakeholders to ensure timely CAP resolution.
- Review recommendations on possible revisions and proposed changes in Model Risk Management and CCAR/CECL policies and procedures, conduct gap analysis, implement the changes and ensure compliance at all levels.
- Preparing/reviewing meeting minutes of model development discussions, model results review, policy-related calls, for audit trail purposes.
- University degree in Economics or Statistics
- At least 7-9 years (Manager) experience in scoring / risk segmentation / loss forecasting model management, model oversight role with solid consumer risk management experience for all consumer loan products
- Good leadership and people management skills
- Strong common sense and judgment in applying the policies and procedures to specific situations
- Ability to work effectively under pressure
- Solid work experience in handling analysis and presentation of complex financing portfolios
- Strong in process management and control concepts
- Proactive and problem solving
- Disciplined, self-motivated, independent, mature and willing to work overtime as occasional evening conference calls with Global Office and other Asia and European countries are expected.
- Good verbal, written and interpersonal communication skills in liaising with global model development team and country risk teams at all levels.
- Strong computer skills particularly in Excel/PowerPoint/SAS/Answer Tree, etc. and prepare presentation decks
- Occasional travel across the region may be required
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AVP- Stress Testing/Loss Forecasting Model Oversight - Mumbai, India - Citi
Description
QUALIFICATIONS
Job Family Group:
Risk Management
Job Family:
Risk Analytics, Modeling, and Validation
Time Type:
Full time
AVP- Stress Testing/Loss Forecasting Model Oversight professionals in Mumbai
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Bhas Karan
Seeking senior position - Tendering & Contracts
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Himanshu Agrawal
Business Leader with 30 years' experience.