Executive/Senior Executive/Assistant Manager - Credit Risk Model Development - Big4

We are a leading consulting firm having opening with one of our Big4 Client for Credit Risk Model Development.

Location: Bangalore/ Gurgaon

Designation: Exec/ Sr Exec/ AM

We are recruiting for Senior in the statistical & quantitative modeling team. Your responsibilities will include:

Work with our clients primarily in the US market to assist them in credit risk engagements pertaining to model development/validation.

Key engagement responsibilities would be:

- Model development/validation/audit/review primarily for one or more credit loss forecasting models in either retail or wholesale domain primarily for CECL/CCAR/DFAST reporting including PD/EAD/LGD component models. Validation process involves understanding of development document, testing and benchmarking using SAS, R or Python and report writing.

- Assist with other model development/validation activities in Underwriting scorecard, Credit Scoring, behavioral models, economic scenario models or automation activities related to validation when required

- 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.

Preferred Skills:

- Programming skills: SAS (primary, minimum requirement), Python (secondary) and R (tertiary).

- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)

- Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL

Neeladri Raj Lakshmi