Credit Risk Analyst

Responsibilities -

- End-to-end independent validation of credit risk and regulatory models PD, LGD, EAD, Stress Testing, CECL, Credit Scorecards, AML and counter fraud models etc.

- First time (baseline), change based and annual validation

- Assess the models conceptually and quantitatively to ensure the model is suitable for the stated us

- Conduct necessary assessments to challenge the model effectively. Assess adequacy of model documentation

- Development of benchmark models using statistical/Machine Learning techniques

- Identify opportunities to enhance efficiency in model validation processes

- Assessment of the model monitoring and implementation process

- Prepare model validation report summarizing findings and provide recommendations

- Work across risk and regulatory modeling and data analytics projects

- Development, re-development and calibration of risk and regulatory models, including but not limited to credit decision scorecards, fraud and AML models, Basel IRB PD, LGD, EAD, Stress Testing and IFRS 9/CECL models

- Model monitoring and implementation support

- Development of modeling strategies for automated decision making

- Develop and support the reports to be shared with senior management at the desired frequencies

- Excellent knowledge of various statistical techniques and proven skill in statistical modeling (Regression, Logistic Regression, Time series, Clustering, CHAID/Classification trees Etc.)

- Data and quantitative analysis to support modeling decisions

- Detailing model techniques and interpretation of variables used in the models be documented and presented to client Stakeholders

- Validation for the source data quality, forecast data quality as well as change management

- In addition to working on model development, the candidates would be required to present their analysis and model results to senior stakeholders in the client organization

Qualifications we seek in you!

Minimum qualifications

- Masters degree or higher in Finance, Mathematics, Economics, Statistics, or equivalent experience

- Experience in BFS analytics, with experience in credit risk modeling/independent validation of models (Regression, Time Series, Competing Risk, Survival Models, Markov TPM, scorecards, etc.)

- Experience in retail and wholesale credit risk modeling

- Understanding of and experience in regulatory risk modeling/validation SR 11-7, CECL, IFRS 9, CCAR, Basel IRB.

- Strong communication/presentation skills written & verbal

- Self-driven, proactive, can-do attitude. Ability to work under ambiguity and with minimal supervision.

- Strong project management experience and demonstrated expertise in communicating and coordinating across multiple business units

- Expertise in SAS & Python/R

- Experience in managing projects independently