Credit Risk - Model Validation

Job Description :

Exp : 1 yrs - 5 yrs

Location : Bangalore / Mumbai / Pune

- Work in the quantitative modelling team

- The candidate will be working on risk modelling assignments including -

- Design, Development, Enhancement and Validation of Credit risk model - PD, EAD, LGD model.

- Model Development, Model validation.

- Enterprise risk/stress testing models - loss forecasting, econometric modelling

- Collaborating with Model Risk Management

Qualification : Master- s/Ph.D. degree in Math- Science/ Statistics/ Econometrics/ Economics/ other quantitative disciplines with strong understanding of risk theories /concepts; FRM certification would be a plus

Skills Required :

- Experience in SAS / R / MATLAB for modelling risk

- Strong understanding of statistical concepts / econometrics / time series modelling

- Deep understanding of risk concepts and regulations

Shruti Gupta
CareerNet Consulting