Senior Outsystems Developer

4 months ago


Cairo, Egypt Link Development egypt Full time
LOCATION - MumbaiEXPERIENCE - 4-9 years
MUST HAVE - Experience in Credit Risk Model Development, model validation, model monitoring with a GSIB

ROLE AND RESPONSIBILITY -
  • Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks
  • Good understanding of:
  • Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/ linear regressions including assumptions and limitations, scorecard calibration
  • Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis
  • Market Risk Model Development or Validation experience covering
  • VaR modeling and validation/back-testing, historical full revaluation, Taylor var approximation (delta gamma method, Monte Carlo) for linear instruments and derivative products
  • Pricing (linear instruments and Derivatives)
  • Curve construction and calibration
  • MR Capital computation (Standardised approach/IMA/FRTB)
  • Economic Capital computation
  • o Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines
  • o Time Series analysis and forecasting
  • o Knowledge around ML techniques such as Random Forest, Decision Trees, and various other Supervised and Unsupervised Learning algorithms (this is optional)
  • Knowledge around regulations by BCBS, US FED, FINMA, PRA, BAFIN, OECD
  • Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory)
  • Preparation of model documentation, model monitoring plans, model validation reports

Skills : credit risk model development,model validation,model monitoring with a gsib


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