AVP - Model Scoring/Credit Risk Modeling

Credit Risk Modeling (Wholesale)

Mumbai

- Opportunity to use cutting edge technology

- Be a part of well established analytics setup

About Our Client:

Our client is a large MNC Financial Services firm with significant growth plans for the India region, embarking on the next stage of the development of their Analytics setup based out of Mumbai. As part of growth of their captive center, they are looking for a seasoned credit risk modeler to be a part of well established analytics setup based out of Mumbai supporting global geographies. They are looking for a highly talented, innovative and collaborative leader to grow the team of analytics professionals.

Job Description:

- Develop model code using base SAS from model specification documentation.

- Source internal and external credit risk data used to run models.

- Support testing of model code developed in SAS and the firm's strategic model system.

- Support operational batch processing and exception reporting of models in SAS.

The scope of the models extend to but are not necessarily restricted to:

- Probability of Default (PD)

- Loss Given Default (LGD)

- Exposure at Default (EAD)

- Economic Capital

- Stress Testing

As a successful candidate you should:

- Demonstrate strong base SAS and quantitative skills.

- Have relevant professional qualification

- Broad understanding of risk management principles within Financial Services.

- Understanding and experience of credit risk model design, including input parameter tables, model operational design and development.

- Knowledge of wholesale investment and commercial banking and associated products and credit processes.

- Knowledge of risk management and control processes appropriate to a financial services environment

This is an excellent opportunity to develop your career within one of the prestigious financial services firms and be a part of their fast growing analytics business.