We are recruiting for Executive/Senior in the Statistical & quantitative Modeling team. Your responsibilities will include :
- Work with our clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to model development/validation, credit policy review, credit origination process review.
Key engagement responsibilities would be :
- Advanced degree in mathematics, statistics, econometrics, financial engineering or computer science;
- Previous professional experience developing or validating statistical models used for CECL, CCAR/DFAST capital stress testing (Pre-Provision Net Revenue models, operational risk models), retail and wholesale credit loss projections (PD, LGD, EAD), Anti-Money Laundering (AML), market risk models (Value at Risk models, interest rate risk models, counterparty credit exposure models) etc.;
- Strong conceptual and technical knowledge of risk concepts and quantitative modelling techniques i.e. logistic regression, linear/nonlinear regression, time series, machine learning or similar technique;
- Proven track record in the development of extensive (80-100 page-plus) model development technical documentation for consumption by internal validation group and regulatory entities; very strong technical writing skills is a must;
- Demonstrated knowledge of database management and manipulation including knowledge of SQL;
- Advanced programming skills in at least one supported statistical programming environment (SAS, R or Python) with intermediate programming skills in at least two;
- Proactively work with AM and Managers for key deliverables in line with Project requirement
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