Required Qualification :
Master of Statistics or Math / Master of Economics / MBA / Masters in Finance / Engineer
Required Experiences :
Following are required experience
- At least 5+ Years of work experience in Credit Risk Model Development and Validation for wholesale and retail portfolio
- Experience in Analytics and Predictive modeling
- Good knowledge of Basel II - IRB
- Good knowledge of IFRS 9 Impairment modeling
- Experience/Exposure in following
- Development and validation of - Rating Models/Retail scorecards / PD / LGD / EAD model
- Developed models for Corporate / SME models, Specialized leading models, Banks and FIs models
- Experienced in PD calibration
- Experienced in mapping internal rating with rating agencies rating
- Model development / validation in low or no default portfolio
- Model implementation on IT platforms
- Stress testing and Macroeconomic modeling
- Experience in writing SAS Macros
- Experience in statistical techniques
- Regression / Logistic Regression / CHAID / CART / Bayesian Techniques /Machine learning / Other standard modeling technique
- Model Validation - Stability / Discriminatory / Calibration / Granularity / Qualitative
Tool :
- SAS / R
- Excel
- PowerPoint / MS Word
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