The missions of a Consultant Expert- MRM are diverse and hinge upon the strengthening of regulatory and accounting requirements related to the supervision and monitoring of risk models. In this context, you will be responsible for conducting internal model reviews (validation of models, backtesting, etc.) that have been developed by the Group’s modeling entities.
Your main missions will be:
lead/contribute on annual validation missions, based on the planning and framework
Interact with the modeling entities.
Analyze and test methods by using both technical knowledge and critical thinking.
Conduct quantitative reviews (statistics).
Be vigilant in the analysis of the regulatory compliance, robustness and performance of these models.
Contribute to the composition of a validation report in order to communicate the conclusions of the review mission
Ensure adequate documentation and archiving of the analyses carried out
The incumbent works on many different topics such as: retail or wholesale credit risk (PD models, LGD models,
stress tests…), operational risk models, market risk models (VaR/SVaR/FRTB, EEPE, CVA, SIMM, IRC/CRM...), models developed under the IFRS 9 framework, models developed to comply with US regulatory requirements.
Required
Profile required
Ideal candidate should be well versed in credit risk model development, validation and monitoring of models (PD, LGD and EAD) for wholesale and retail credit portfolio of the bank as per regulatory guidelines.
Exposure to banking book and understanding of trading book products and knowledge on BASEL/IFRS guidelines is highly desirable. Candidate should have excellent business communication skills.
Educational Requirements:
Post-graduation degree in quantitative discipline(Statistics, Economics, Mathematics & engineering) from Tier I/II colleges. Additional certification in machine learning techniques or estimation of credit risk parameters will be preferred.
Role & Resp
📌 Lead Expert (Bengaluru)
🏢 Societe Generale Global Solution Centre
📍 Bengaluru
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