Role: Credit Risk Strategy & Analytics – Mortgage Loss Forecasting & Analytics SME AVP Level
Location: Gurgaon
Experience:- 10 + Years
Preferred Industry: Investment Banking
Qualification: Any Graduate
Role Purpose
The Mortgage Loss Forecasting & Analytics SME will be responsible for developing, executing, and monitoring loss forecasting models (including CECL) and loss recognition processes for a large-scale mortgage loan portfolio. This role serves as a subject matter expert, leveraging SAS and SQL to analyze historical data, forecast delinquencies/charge-offs, and ensure accurate financial reporting in compliance with US GAAP.
Key Responsibilities
- Loss Forecasting & Modeling: Develop, maintain, and execute statistical models (vintage analysis, roll rates, logistical regression) to forecast credit losses, delinquencies, and recoveries for mortgage products using SAS.
- US GAAP Accounting & Compliance: Ensure all loss forecasting and provisioning methodologies comply with ASC 326 (CECL) or relevant US GAAP standards.
- Loss Recognition &; Provisioning: Perform monthly/quarterly loss recognition calculations, including allowance for loan and lease losses (ALLL) and purchased credit deteriorated (PCD) asset reporting.
- Data Analysis & ; Validation: Extract, manipulate, and analyze large mortgage datasets using SAS to identify trends in delinquency, prepayment, and default.
- Variance Analysis: Compare actual loss performance against forecasted figures, providing detailed insights into drivers of variance to senior management.
- Stakeholder Collaboration: Partner with Risk, Finance, Treasury, and Model Risk Management teams to support stress testing (CCAR) and financial planning.
- Documentation & Governance: Maintain comprehensive documentation for models, assumptions, and processes to support internal and external audits.
Key Skills & Requirements
Strong knowledge of Loss Forecasting, SAS, US GAAP Accounting,Loss Recognition
