Ideal candidate should be well versed in credit risk model development, validation and maintenance 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.
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 & Responsibility
The ongoing monitoring of the model is a task that must be done in all phases of the model lifecycle (development, implementation, use). In order to track and measure the efficiency and adequacy of models, the model monitor conducts continuous analysis and controls as an early warning both initially at implementation (for new models) and regularly as a part of the model’s ongoing monitoring.
For the purpose of these tests, the model monitor is responsible to:
- Backtest & re-calibrate each model designed and developed by the business, hence a thorough understanding of model development under Basel & IFRS norms is critical.
- Choose adequate model outcome analysis techniques such as:
o Model estimates vs realized values (e.g. back-testing for some models);
o Stability of model outcomes;
o Benchmarking: model output vs output generated by comparable models or applications;
o Sensitivity analysis to test robustness.
- Analyze the model output and the related components (if applicable);
- Model assumptions and limitations validity;
- Results of benchmarking and sensitivity analysis;
- Accuracy of model’s characteristics;(ROC/AUC, KS statistics, accuracy ratio, Gini coefficient etc)
- Monitor over time in order to follow up trends and detect deviations;
- Establish thresholds and action plan for major deviations;
- Report this analysis to the different model stakeholders.
- Implement a governance to monitor the corrective actions
Furthermore, as part of the model ongoing monitoring phase, the model monitor should abide by the group standards on ongoing monitoring that establish guidelines on performance assessment processes including type, scope and range of tests and appropriateness of responses to any problems that may appear.
Regulatory risk model (IRB, IFRS9) model validation, monitoring, development (good to have) using SAS, R. Initiation to machine learning model validation.
–Knowledge of Global regulatory Topics BASEL II/III & IFRS 9
–Understanding of risk management and risk quantification processes
–Understanding of forms of risk, viz. credit, market, operational, model etc.
-Contribution to Strategy
Why join us
“We are committed to creating a diverse environment and are proud to be an equal opportunity employer. All qualified applicants receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status”.
At Societe Generale, we are convinced that people are drivers of change, and that the world of tomorrow will be shaped by all their initiatives, from the smallest to the most ambitious.
Whether you’re joining us for a period of months, years or your entire career, together we can have a positive impact on the future. Creating, daring, innovating and taking action are part of our DNA.
If you too want to be directly involved, grow in a stimulating and caring environment, feel useful on a daily basis and develop or strengthen your expertise, you will feel right at home with us!
You should know that our employees can dedicate several days per year to solidarity actions during their working hours, including sponsoring people struggling with their orientation or professional integration, participating in the financial education of young apprentices, and sharing their skills with charities. There are many ways to get involved.