Assistant Manager - Model Validation - SAS Based Credit Risk Modelling - PD/LGD/EAD

Position in Model validation role:

Requirements :

- Advanced understanding of the quantitative techniques used in developing and validating PD, LGD, EAD and credit decision models.

- Strong numerical programming ability and hands-on expertise with one or more statistical packages such as SAS. Expert user of Microsoft Excel and other MS Office utilities.

- Production of high quality written communication including reviews of models, risk policies, results of research and presentations for technical and non-technical audiences.

- Assertiveness; ability to convincingly argue and rationalize own point of view while keeping a realistic and pragmatic perspective.

Preferred :

- Knowledge of one or more of the following areas of credit model risk management:

- Scorecard models, regression analysis, reject inference, decision trees, cluster analysis and neural networks, covering Application/Behavioral Risk, Value/Risk Reward, Pricing/ Response/Prepayment, Collections.

- Familiarity with FSAFCA regulations and IFRS9 accounting standards.

- Experience in working with audit, regulators and compliance.

- Being able to deliver under pressure.

- Good understanding of banking environment and credit risk related products for loan book.

Shilpi
09899180581