Assistant Vice President - Credit Economic - Capital Modeling

Position Title: AVP.

Corporate Title: AVP.

Reporting to: VP.

Location: Bengaluru.

Job Profile

Key Accountabilities:

Credit Economic Capital Modeling:

- Support Global and Regional Economic Capital production process.

- Run, maintain, and update the monthly production processes for generating loan-level Economic Capital results.

- Perform Monte Carlo simulations of Economic Capital (catastrophic losses that occur in crisis scenarios) using vendor models such as Moody's Risk Frontier.

- Assist standardization of Economic Capital modeling across ALL regions.

- Align EC modeling parameters (e. quantification of systematic risks in individual credit position, PD/LGD correlation, etc.

- Develop/enhance Economic Capital production process.

- Conduct peer code reviews, promote best coding practice, explore cutting-edge technologies and tools for production process automation.

- Work with stakeholders and partners across global organization (often with conflicting interests).

- Develop and promote tools and technology to facilitate stakeholder communications.

Credit Risk Framework:

- Manage credit risk appetite and concentrations management limit frameworks.

- Link credit risk appetite and concentration limits to business strategy (capital/earnings).

- Support credit portfolio quality vs. current and future economic/market trends.

- Participate in policy review and updates in coordination with key regional and global stakeholders.

- As SME, assist risk identification and materiality measurement within the Americas Region.

Credit Loss Forecasting Models:

- Forecast stress credit losses according to preformatted macroeconomic scenarios:

- Implement and update proprietary credit risk models (i.e. Probability of Default / Loss Given Default / Exposure at Default) for all loan exposures and loan types.

- Assess and standardize loan data extraction from numerous regional and global systems supporting credit portfolio modeling.

Job Requirements:

- Excellent data analytics skills gained through hands-on experience, including familiarity with large data sets and the tools for data analysis (e. R, python, Pandas).

- Experience using Git/Bitbucket (version control applications) to manage production-level code.

- Understanding or ability to quickly learn credit management platform (software) i. credit loss forecast models, stress lost forecasting, Monte Carlo loss simulation, etc.

- Excellent communication skills, oral and written, also interpersonal skills.

- Experience with statistical tools and techniques (regression models, multivariate analysis, machine learning / deep learning) within financial services.

- Model development capabilities.

Experience & Abilities:

- 3+ years work experience with credit analytics (or equivalent) function preferred.

- 2+ years work experience in/or supporting Front Office function (e. credit, markets, etc.) within a major commercial or investment bank, insurance company, or similar international financial business.

- Understanding of / or direct Experience with cloud computing (i. AWS).

- Active participation in leading/advocating projects.

- Strong teamwork abilities.

- Excellent critical thinking, problem-solving abilities.

- Highly motivated, strong attention to detail, organized.

- Minimum Bachelors degree (Masters/PhD welcome) with emphasis on quantitative methods and tools (i.e. Computer Science, Engineering, Finance, other disciplines).