Credit Risk Modeling Executive/ Senior/ Assistant Manager

Role description:

- Work with our clients in the Australian and South-East Asian market to assist them in credit risk projects pertaining to model development/validation, credit policy review, credit origination process review, TOM development, and regulatory compliance, reporting.

Key engagement responsibilities would be :

- Model development (PD,LGD,EAD, Stress Testing, Loss Forecasting, Credit Scoring and other behavioral models)

- Model Validation

- Documentation

- Process review / TOM development

- Data Management

- Engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to deliver on projects.

- Take responsibility for key deliverables on engagements reporting to Engagement managers.

Required Qualifications:

- Advanced degree in Math, Statistics or other Analytical disciplines

- Professional Certification such as FRM, CFA preferred

- Minimum of 1 year experience working in the credit risk division in large banks and/or tier 1 consulting organizations like Big 4, Accenture or Specialized Risk Analytics firms.

Strong working knowledge in most of the following areas:

- PD/LGD/EAD Model development

- ALLL (Loan loss provisions) calculation

- Loss forecasting models

- CCAR / DFAST stress testing

- RWA & Capital calculation

- Credit scoring (Retail portfolios)

- Advanced statistical modeling skills (logistic regression, CHAID and other data mining/predictive modeling skills)

- Strong knowledge of Advanced Excel and VBA.

- Sound modeling skills in SAS, SPSS, MATLAB, R or other statistical software preferred.

Other preferred skills will be:

- Risk based pricing

- RAROC

- Economic Capital / Credit VaR

- Basel II, ICAAP

- Excellent communication skills (Verbal & Written)

- Must work well in a team-oriented environment as well as independently.

- Ability to travel overseas as necessary to meet client needs

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