Description -

- Opportunity to participate in the development of state of the art stress testing models for AIRB Parameters (PD, LGD, EADs)

- Involvement in the delivery of an ambitious Stress Testing program which a key focus globally

- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.

- Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.

- Work closely with the global stress testing team on methodology aspects.

- Work with Risk IT in the implementation of new methodologies.

- Produce analyses required for regulatory reporting and analyses requested by regulators.

Qualification-

- Roles in Credit Analytics are technical and hence even for a managerial positions it will require candidates to be highly detail oriented and undertake hands-on tasks

- Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous

- Strong experience/knowledge in at least some of the following areas (in quant space):

- Counterparty Credit Risk

Pricing and valuation - Derivatives (across one or more asset classes)

Computation of Risk Metrics (e.g. VaR, EPE, PFE, RWA, Greeks)Credit Portfolio Modelling - Default and Migration Risk

- Risk Scenarios and Stress Testing

- Regulatory framework and rules (e.g. BASEL, CCAR etc.)

- AIRB - LGD, PD and CCF Modelling

- Back-Testing and Monte-Carlo Methodologies

- Strong Quant skills and aptitude - We expect candidates to have good understanding of Probability and Statistics / other quant concepts used in above areas

- Good technical skills - exposure to one or more of the below programming language/database:

Programming and Algorithms: R, VBA / advanced Excel, Matlab etc

Database and SQL: MS Access, MySQL, Oracle etc

- Advanced degree in finance, mathematics, econometrics, engineering or other quantitative subject. Candidates from other streams who are able to demonstrate good conceptual understanding and are willing to understand the stress testing framework in depth are welcome to apply as well

- Good Communication skills (oral and written): Ability to communicate logically and precisely, including writing extended documentation

- Highly Detail Oriented. This role requires hand-on approach along with management oversight

- Team management experience would be advantageous

- Exposure to the latest in credit risk and regulatory requirements across all major global regulators and across various business / geographies

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