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
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