Team Lead at Techsist Solution
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Credit Risk Role - Model Validation - Big4 (1-5 yrs)
Your responsibilities will include:
- Work with the 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 :
- Model development of one or more of CCAR/DFAST/ IFRS 9 modelling and PPNR including Stress Testing, Balance Sheet forecasting, Deposit Modelling/PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behavioural models)
- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)
- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models.
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