With a startup spirit and 90,000+ curious and courageous minds, we have the expertise to go deep with the world's biggest brands-and we have fun doing it. Now, we're calling all you rule-breakers and risk-takers who see the world differently, and are bold enough to reinvent it. Come, transform with us.Inviting applications for the role of SM, Asset and liability management (ALM) behavioral models validation
In this role, you will be responsible for model development, implementation & documentation - for a BFS client in the US
You will be working with the independent model validation function of a large banking client and will involve end-to-end validation of risk and regulatory models across business functions, and development of challenger models as necessary. It will also involve interaction with various stakeholder groups including model development, model owners/lines of business, auditors, and client model validators. You will be expected to work hands-on to validate models, build and lead validation teams, and bring in thought leadership and domain/quantitative best practices to present an effective challenge to the models.Responsibilities
Qualificationswe seek in youMinimum qualifications
- End-to-end independent validation of ALM behavioral models, like prepayment, premature withdrawal, run-off of non-maturity deposits (NMD), utilization of working capital limits, defeasance of securities, etc.
- Assess the models conceptually and quantitatively to ensure the model is suitable for the stated use
- Conduct necessary assessments to challenge the model effectively. Assess the adequacy of model documentation in line with regulatory guidelines
- Development of benchmark models as and when required
- Assessment of the model monitoring and implementation process. Assessment of the model calibration techniques
- Prepare model validation report summarizing findings and provide recommendations
- Assessment of model risk current state and gaps for clients, along with recommendations to address the gaps
- Post-graduation in Financial Engineering, Finance, Mathematics, Economics, Statistics, or equivalent experience
- Relevant experience in quantitative modeling (development, validation, etc.) with able experience in ALM behavioral models
- Experience of and experience in regulatory risk modeling/validation - SR 11-7, interest rate risk in the banking book (IRRBB), and Liquidity Risk regulations
- Experience or understanding of various prepayment modeling methods, like, conditional prepayment rate (CPR) model, Andrew Davidson & Co. (ADCO) model, Bloomberg prepayment model, Solomon Smith Barney (SSB) model, Wharton model, Goldman-Sachs (Richard Roll) model, etc. Similarly, various model methodologies for other behavioral models.
- Expertise in Excel & Python/R
- Understanding how behavioral models are applied in ALM systems and constraints
- Understanding of bank's balance sheet structure and usual data sources of various products. Understanding of various asset, liabilities, and off-balance sheet products and genesis of liquidity risk and IRRBB.
- Good client management and communication/presentation skills - written & verbal
- Relevant project management experience and demonstrated expertise in communicating and coordinating across multiple business units
- Experience in managing projects and teams for senior professionals
- Self-driven, proactive, 'can-do' attitude. Ability to work under ambiguity and with minimal supervision
Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws.
- Good networking, negotiation, and influencing skills
- FRM or CQF certification is a plus
Genpact is committed to creating a dynamic work environment that values diversity and inclusion, respect and integrity, customer focus, and innovation. For more information, visit www.genpact.com. Follow us on Twitter, Facebook, LinkedIn, and YouTube.