Credit Risk Modelling Role - SAS - BFSI

- Laying down and review of economic variables/scenarios affecting the forecasting of the probability of default and computation of PD.

- Expected Credit Loss computation and

- Development and modification of models for assessment of risk and ratings.

- Validation and back testing of rating models and model development.

- PD, LGD and Macroeconomic model development

- Involved in credit risk modelling using statistical techniques

- Performed ECL calculator testing through assessment of inputs being used and cross validating the output calculated