Sr Consultant - Credit Risk

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

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.