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Associate/Senior Associate - Machine learning/Credit Risk Modeling - Investment Bank (4-8 yrs)
Core responsibilities:
The successful candidate will be a member of the MGG Group covering the Risk areas such as wholesale credit risk (may also include coverage of Market Risk & other areas as need arises), and will focus on the following activities:
- Engage in new model validation activities for a subset of models in the coverage area - evaluate conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
- Work on the review of Machine Learning Models employed in the Wholesale Credit Risk Space
- Maintain model risk control apparatus of the bank for the coverage area & serve as first point of contact
- Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards
Essential skills, experience, and qualifications:
- Strong quantitative & analytical skills: The role requires a strong quantitative background based on a PhD or Masters Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative/Math Finance, etc.
- Experience in model development and/or model validation and strong familiarity with PD/LGD & EAD Models; At least 4+ year of the following areas (preferably in Wholesale/Consumer banking):
- Strong communication skills and ability to interface with other functional areas in the bank on model-related issues
- Risk and control mindset: ability to ask incisive questions, converge on critical matters, assess materiality and escalate issues
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