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

We are a leading consulting firm having opening with one of our Big4 Client for Bangalore location.

Position : Credit Risk Model Validation

Location : Bangalore

We are recruiting for Exec/Senior/AM 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

Note : Must have exposure in SAS.

Open for Closed Lab Environment:

Neeladri Raj Lakshmi