PPNR/Credit Risk Model Development at Northern Trust

Bengaluru, Karnataka, India

Not SpecifiedCompensation

Mid-level (3 to 4 years), Senior (5 to 8 years)Experience Level

Full TimeJob Type

UnknownVisa

Financial Services, BankingIndustries

Master’s in Statistics, Economics, Mathematics, or advanced degree in quantitative area; or B.Tech from tier 1 college with MBA in related field
4-7 years of relevant experience (3+ years of hands-on model building experience)
Strong understanding of BASEL, CCAR, DFAST, FRY-14A, SR-11/7, and regulatory requirements
Strong conceptual and technical knowledge of risk concepts and quantitative modelling techniques, including statistical concepts used in stress testing
Strong quantitative skills; experience in model validation a plus
Proficiency in R, SAS (preferred), Matlab, advanced Excel techniques, and VBA programming
Strong experience in building linear regression models, nonlinear regression, time series modeling (ARIMA, AR, VAR, MA), and stochastic processes
Strong organizational and interpersonal skills
Excellent verbal and written communication skills (English)
Experience working in a multi-cultural and global environment
Related industry qualification (e.g., CFA, FRM) a plus
Knowledge of banking balance sheets and income statements

Develop and maintain PPNR models for Non-Interest Income, Net Interest Income, Expense, Deposit, and Balance models
Develop CCAR models (PD/EAD/LGD), CECL models (PD/EAD/LGD), and Basel models (PD/EAD/LGD)
Ensure regular production of analytical work
Collaborate with regulators, Audit Services, and other independent reviewers
Evaluate existing frameworks against corporate objectives and industry leading practices; assess development needs and manage processes to achieve desired future state
Support stress testing, capital quantification, and/or internal capital allocation methodologies, ensuring alignment with internal and regulatory requirements
Provide technical/theoretical inputs to resolve risk issues and enhance overall risk framework
Work with other risk or business unit teams to ensure consistency in risk management policies, processes, and quantitative modelling approaches
Provide communication and training to promote understanding of risk measurement throughout the company
Conduct independent analysis, ensuring accuracy and completeness
Interact with different committees and/or senior management
Strategically develop, implement, and administer programs within Risk Management for specific product(s)
Resolve complex issues in PPNR/Credit Risk modelling and risk measurement; enhance methodologies