NAB
Location
Gurgaon | India
Job description
Key Accountabilities:
The role holder will be part of a team responsible for ensuring the credit risk models (Credit IRB (PD, EAD & LGD) and Credit Decisioning and Credit Provisioning) remain fit for purpose. Supporting both the periodic validation of credit models in production and validation oversight of all new models and model changes . Completing model risk management activities around the ongoing management of models at NAB. Purpose: Model validation and oversight of credit risk models used for economic and risk measurement in the Bank. Support the testing, analysis and development of credit risk models / estimates such that management can have confidence in risks of the portfolio. This is achieved via: Annual model review and supporting the development of model validation methodology for credit rating models, default (PD) loss given default (LGD), exposure (EAD) estimates, Application models and behaviour scoring models; Oversight and review the development and/or re-calibration of credit rating models and internal estimates of credit risk; Supporting the development and review of models (outside of Credit) considered to have a high material impact across the enterprise; Effective model risk management across the model lifecycle. Support model risk related activities across the enterprise. Capability: Understanding and management of model risk Financial and numerical literacy Experience in development or validation of statistical models either through academic or ‘on the job’ role. Strong computer literacy is essential, familiarity of Excel/SAS/SQL/R/Python Prior knowledge of quantitative credit: Default and loss modelling Awareness/familiarity with Basel II Accord. Experience : Preferred to have 3+ years’ professional experience in quantitative risk management at a bank A strong quantitative background is a prerequisiteJob tags
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