System Analyst- Model Validation

  • Gurgaon
  • 10-15 lakh
  • 2-6 years
  • Views
  • 25 Jan 2017

  • Software Design & Development

  • KPO/ Analytics
Job Description

Validates risk rating models across the bank
Assesses a model back-testing process
Applies SAS/programming development skills while performing and documenting test work for validation of market risk models, including derivative pricing, yield curve construction, Value at Risk (VAR) models, operational risk models, Pre-Provision Net Revenue (PPNR) forecasting models, origination and behavior scorecard models, loss forecasting models, anti-money laundering models, etc.
Validation test work includes, but is not limited to, evaluating the conceptual soundness and implementation of the methodology, the validity of assumptions, the quality of data, and the accuracy of the outputs
Writes and revises validation reports and issues.\

Proficient with data management tools (SAS, SQL, Access), statistical software (R, Stata, Eviews), or other programming languages
Proficiency with Visual Basic Script within Microsoft Excel, advanced data management skills and the ability to source data and convert it into a usable form without the benefit of a fully-developed data mart
Experience with Matlab, Mathcad, C++/C#, Excel/VBA, Algorithmics or Moody's Credit Manager is a plus
Ability to work on diverse set of high priority projects
Excellent written and oral communication skills, especially clearly explaining quantitative concepts to non-quantitative people.

Competencies/Skill sets for this job

Forecasting C++ Vba Management Skills Derivative Pricing Sas Sql

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