•Identification of Key Risk Indicator data points, fixing up tolerance limits, validation of KRI data points with other risk data.
• Review of KRI thresholds with other stakeholders, preparation of Dash boards for senior management.
•Conducting scenario analysis, stress testing and ICAAP assessment for operational risk.
Collection of information related to Key Risk Indicator (KRI) and operational loss data from various units, central sources and classifying them into various business lines and event types as per the Basel II norms.
• Computation of risk scores from KRI data, generating KRI reports and circulation of reports.
• Interacting with units for collection of loss data and analysis of historical loss data for managing risk and uploading/updating the loss data base.
• Computation of operational risk capital charge under advanced measurement approach/Standardised measurement approach using different statistical techniques/ as per the requirement of the regulator, by making use of various elements of operational risk management framework.
• Assisting team to compute KRI scores, threshold fixation for KRI and other risk components
• Preparation and review/updation of policy / process documents as per the direction of risk committee and regulator
• Review of framework with respect to Key Risk Indicator (KRI), capital modeling, etc
•Compute operational risk capital charge as per Basel II framework using various statistical techniques
•Analyzing data- finding trend, correlation among the data set, performing regression/factor/cluster analysis
•Performing statistical analysis of loss data, scenario data and other elements using SAS and R software
• Performing scenario modeling and conducting stress testing using various OR data elements
Required Skills :
• Should have completed atleast 2 years in the current role.
• Post-Graduate in Statistics/Econometrics/Finance/Economics/Mathematics/business management
• Knowledge on SAS software and R language is preferable.
• Strong technical & analytic skills. Strong written and verbal communication skills
• Strong Excel modeling skills