Basel Credit Risk Modeler

Job Description - Basel Credit Risk Modeler

This position within the Consumer Credit Solutions (CCS) Unsecured Credit Risk team will be responsible for playing a leading role in driving and performing the most complex business and statistical analysis, model development and documentation, model performance assessment, and capital assessment in the Basel team, requiring creativity, ingenuity and command of advanced mathematics and theory.

Key responsibilities

- Complex data extraction and analysis, sampling design, theoretical conceptual soundness, model development analytics (business insight in addition to statistical analysis, model design and justification, model development, outcome analysis, and sensitivity analysis), on-going model performance assessment, capital adequacy assessment and stress testing.

- Regular and independent interaction with internal as well external (regulatory) model validation and governance teams as well as business advisors during all model life cycle stages.

- Providing leadership and mentoring in statistical analysis and modeling to other team members, including formal analytic review.

Minimum requirements:

- Knowledge and experiences in SAS programming to manipulate, manage and work with large databases in SAS. Knowledge of other programming languages (e.g. R, Matlab) would be a plus.

- Experience in data cleansing, sampling, model design, model assessment and performance measurement design and evaluation.

- Expert knowledge of financial products/portfolios and the ability to synthesize data to -form a story- and align information to contrast/compare to industry perspective.

- Ability to structure, schedule, scope and drive multiple statistical model developments and advanced analytics.

- Excellent project management skills in managing multiple projects with challenging timelines.

- Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels.

- Ability to interact and collaborate with model validation and governance teams and business advisors effectively.

- Ability to exercise independent judgment and apply prudent credit risk management principles

- High quality results orientation under tight timelines and ability to collaborate

Education and Experience

- Master's degree in programs such as applied mathematics, statistics, engineering, physics, accounting, finance, economics or computer sciences.

- 5+ years related industry experience.

- Knowledge of Basel II AIRB framework.

Jyoti