AVP - Credit Risk Analytics - BFSI

Job Description

Designation: AVP Credit Risk Analytics

Location: Mumbai

Shift Time: 1pm to 10pm (dropping facility is available )

Experience: 5-8 yrs

CTC: 25-35LPA

Job Description:

To improve risk return dynamics of a major credit card portfolio. This position within the forecasting/scoring team will develop, validate and manage CCAR/DFAST stress loss models.

Core Responsibilities:

The candidate will have experience in a large, sophisticated credit granting or risk management organization within a major consumer card, financial services, retailing or consulting business

This individual will bring a strong analytical orientation, an appreciation for broad-based risk issues, understanding of data mining techniques, and a familiarity with operations

The role will require successfully performing the different analytical components of an econometric modeling-driven stress test process

Must have the knowledge and expertise to deliver innovative modeling techniques and data strategies to deliver best in class stress testing and/or credit scoring models

Must be updated with latest CCAR modelling techniques through ongoing review of Journal papers

Provide support to senior management against the requirements set by Internal Risk Oversight and other external regulators

Day-to-Day Responsibilities:

Role will require developing PD/EAD/LGD stress testing models for annual DFAST/CCAR exercise

Prior experience in developing loan level models is preferred using one or more modelling constructs

Survival Models, Age Period Cohorts and State Transition models

Perform complex risk policy analytics in terms of sizing the impact of credit/business/regulatory policies on loss performance and figure out a way of incorporating them into the stress testing process

Perform econometric analysis to estimate and explain the impact of changing macroeconomic trends on Portfolio Performance Losses, delinquency etc.

Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility), deliver comprehensive model documentation, Validate and Recalibrate models on periodic basis as in line with group policies

Presentations to both technical and non-technical personnel are required to be made frequently as part of the job

Must have capability to clearly communicate analyses

Key Deliverables:

Ongoing management and validation of CCAR and scoring models across portfolios

Development of CCAR/scoring models as per business requirement

Exploring and implementing alternate modeling techniques to deliver more predictive models

Effective interaction with business partners across functions including risk, technology, product management amongst others

Qualifications:

Education: Bachelors degree in a quantitative discipline: Mathematics, Economics, Operations Research, Statistics

Experience: 8+ years of relevant experience

Skills:

Ability to apply credit and risk principles toward business objectives

Demonstrated ability to synthesize, prioritize and drive results with a high sense of urgency

Strong analytical skills in conducting sophisticated analysis using bureau/vendor data, customer performance data and macroeconomic data

Strong leadership and team management skills

Strong programming skills in advanced SAS and SQL in mainframe, UNIX and PC environments

Other:

Exposure to project/process management

Strong communication and presentation skills targeting a variety of audiences

A qualified candidate needs to be able to work with cross functional teams

Creates and sustains a network of strong client relationships

Flexibility in approach and thought process

Ability to work effectively across portfolio risk policy teams and functional areas teams

Strong influencing, negotiating, and facilitation skills

Analytical mindset

Preferred:

Education: Masters degree in a quantitative discipline: Mathematics, Economics, Operations Research, Statistics

Skills:

Credit card industry experience especially in an analytics, policy or scoring role is preferred

Exposure to and understanding of Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST) processes

Prerna
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