Assistant Vice President/Vice President - Credit Risk Modelling - Investment Banking Firm

Currently, We are hiring for a top-notch Investment Banking firm.

KRA's :

- Develop, calibrate, monitor and document credit risk models in line with regulatory requirements, e.g. Basel, CRR, CCAR, IFRS9

- Enhance model management through automation and development of monitoring package

- Calibrate credit risk models, and contribute to the development through approval

- Validate performance of new models; develop and deploy model monitoring scripts

- Maintain model documents to required standards

Requirement:

- Post-graduate degree in a quantitative discipline, such as Statistics, Mathematics, Econometrics, Physics, Engineering. Background in Statistics and Computer Science is preferred.

- Excellent knowledge of statistics, e.g. regression analysis, reject inference, decision trees, confusion matrix, cross-validation

- Numerical programming ability using R and/or Python, and working experience with SQL

- Experience in data visualization, cleaning, and feature extraction.

Rekha