We have a job opportunity with one of our leading BFSI client   We are looking for candidate with experience into PD, LGD, EAD model  - Opportunity to participate in the development of state of the art stress testing models for AIRB Parameters (PD, LGD, EADs)   - Involvement in the delivery of an ambitious Stress Testing program (with focus on APAC portfolio) in close collaboration with a US related capital adequacy Stress-Testing streams in the bank  - Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.  - Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.  - Work closely with the global stress testing team on methodology aspects.  - Work with Risk IT in the implementation of new methodologies.  - Produce analyses required for regulatory reporting and analyses requested by regulators  - Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous  - OTC Derivatives (At least one asset class), Secured Financing Transactions   - Pricing models   - Computation of risk metrics (e.g VaR, EPE, PFE, RWA, Greeks)  - Credit Portfolio Modelling  - Default and migration risk modelling, PD/LGD/CCF Modelling  - Scenarios and stress testing  - Regulatory framework and rules (e.g. BASEL 2/3, CRD IV, AIRB, IMM etc)

Delhi NCR

Others

Vice President - Credit Risk Models - BFSI 

Vice President - Credit Risk Models - BFSI  ,Job Description for Vice President - Credit Risk Models - BFSI  in Black Turtle in  Delhi NCR Others for (10-15) years of experience. Apply Now!

Job Description for Vice President - Credit Risk Models - BFSI  in Black Turtle in  Delhi NCR Others for (10-15) years of experience. Apply Now!