Treasury Manager

• 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