Crisil - Credit Model Monitoring Role - Quant

Credit Model Monitoring | Quant

Job Duties:

Role will require closely working with the Enterprise Risk Analytics (ERA) team of our client (a large bank) which is responsible for developing and managing wholesale and retail IRB, IFRS 9 and stress testing credit risk models.

- Key responsibilities include helping the bank with various aspects of the model development, model monitoring and enterprise risk analytics

- Monitor credit risk IRB and IFRS9 models for the measurement of PD, EAD and LGD for the bank's wholesale retail portfolios.

- Ensure the monitoring process and models comply with the Bank's Model Risk Policy and Model Family Standards and results.

- Work on the end-to-end model monitoring (PD, EAD, LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders.

- Develop summaries and documentation for PRA regulatory submissions.

Qualification: Masters /MBA degree in a quantitative discipline - Mathematics, Statistics, Economics, Physics, Financial Engineering, Finance. PhD will be a plus.

Skills Required:

- Experience in model documentation, development, model validation or stress-testing

- Strong experience in end-to-end model monitoring (PD, EAD, and LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders

- Excellent knowledge of regulatory and risk management guidelines (e.g. Basel, EBA guidelines, IFRS9, Stress Testing, ECL etc.)

- Experience and ability for analysing data and developing statistical predictive models.

- Strong programming experience in more than one of the following - SAS, Python, R

- Excellent communication skills, both written and oral

- Analytical, Strategic and Conceptual thinking and Problem-solving skills

- Highly motivated, organized, attentive to details