Credit Risk Model Development Role - BFSI

Credit Risk Model Development Role

Looking for People extremely strong in Statistics Linear Regression, Logistic Regression & Time Series Models

Key Duties and Responsibilites :

- Develops statistical analysis to measure and model behavior of complex assets and liabilities.

- Lead risk management initiatives by developing statistical analysis to measure and model behavior of complex assets and liabilities.

- Take ownership of model development of one or more assets on the balance sheet (Asset Mix includes Residential whole loans, GNMA pool buyouts, commercial loans, MSRs, non-agency securities, etc.). Model development covers modeling of complex income streams.

- Model development covers modeling of complex income streams.

- Measure the dynamics of balance sheet behavior to changing macro-economic conditions.

- Leverage macro-economic fundamentals to explain behavior under changing economic conditions for the purpose of scenario analysis and stress testing.

- Liaison with management and financial risk analysts to deploy models within the construct of overall balance sheet risk management framework.

- Analyze hedge activity, interest rate risk inherent in financial instruments managed at the bank, and assist in engineering hedge programs.

- Leverage third party models where necessary to measure asset/liability behavior.

- Develop strategies to maintain data integrity and business workflow efficiency within Capital Markets and other departments.