Assistant Manager/Manager - Credit Risk Model Development - Investment Banking

We have openings with one of our investment banking client in Mumbai and Bangalore location for Credit risk model development profile

Job Description

- Data scientist with experience developing statistical/ machine learning algorithms to make operational performance improvements for business

- Responsible for Credit Risk Scoring projects including development & monitoring of risk scorecards for the credit card portfolio

Application Scorecard :

- Involve in developing a bureau match scorecard to screen credit card applicants in line with the risk appetite of business

Behaviour Scorecard :

- Develop a behaviour scorecard to assess the delinquency risk of our customers, based on their performance with us

- This helps us to identify customers to cross sell to. Further, it guides us in managing the credit limit that we have extended to them

Loss Reserving :

IFRS 9 | Regulatory Requirement

- Partnered with an external consultant to build an IFRS 9 model for estimating the quantum of Risk Adjusted reserves in line with regulatory requirement

Income Estimation Model

- Develop an income estimation model for applicants sourced through programs not requiring income proofs as a sourcing document

Techniques

- Logistic Regression

- Generalized Linear Models, GAM

- Splines

- Time Series Analysis

- Survival Analysis

- Decision Trees

- SAS