Financial Modeling Expert

6 days ago


Karachi, Sindh, Pakistan Samba Bank Limited Full time
Responsibilities:
  • Audit Entity Reviews: Conduct thorough reviews of audit entities as a team member or leader to ensure reasonable assurance.
  • Business Compliance: Independently monitor business compliance with the independent limit/trigger framework.
  • Corrective Actions: Collaborate with business management to agree upon corrective actions for limit excesses.
  • Report Compliance: Ensure reports comply with statutory policies and procedures.
  • Liquidity Monitoring: Monitor limit excesses on an ongoing basis to ensure corrective action is taken.
  • Risk Modeling: Prepare projected liquidity MAR and Stress Scenarios, and calculate and prepare Basel III CAR & liquidity ratios.
  • Reporting: Prepare Maturity and Interest Rate Gap reports, and generate standard corporate ALCO-approved ratios.
  • Model Development: Support the team in enhancing the development of IFRS 9 models, including re-calibration of PD, LGD, macroeconomic scenarios.
  • Statistical Analysis: Define mathematical techniques and underlying assumptions for volatility and correlation calculations, and establish statistical techniques and assumptions used for VaR calculations.


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